Itô's formula for linear fractional PDEs

Details Itô's formula for linear fractional PDEs Itô's formula for linear fractional PDEs

2006-10-25

arxiv.org/abs/math/0610753v1

Journal of Functional Analysis 228, 1 (2005) 114-143

Mathematics

Probability

23 p

Scientific paper

In this paper we introduce a stochastic integral with respect to the solution
X of the fractional heat equation on [0,1], interpreted as a divergence
operator. This allows to use the techniques of the Malliavin calculus in order
to establish an It\^{o}-type formula for the process X.

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