Itô's formula for the $L_{p}$-norm of stochastic $W^{1}_{p}$-valued processes

Details Itô's formula for the $L_{p}$-norm of stochastic $W^{1}_{p}$-valued processes Itô's formula for the $L_{p}$-norm of stochastic $W^{1}_{p}$-valued processes

2008-06-10

arxiv.org/abs/0806.1557v1

Mathematics

Probability

16 pages

Scientific paper

We prove It\^o's formula for the $L_{p}$-norm of a stochastic
$W^{1}_{p}$-valued processes appearing in the theory of SPDEs in divergence
form.

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