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Itô’s formula for the L p -norm of stochastic \({W^{1}_{p}}\) -valued processes
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  • Published: 23 April 2009

Itô’s formula for the L p -norm of stochastic \({W^{1}_{p}}\) -valued processes

  • N. V. Krylov1 

Probability Theory and Related Fields volume 147, pages 583–605 (2010)Cite this article

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Abstract

We prove Itô’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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References

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Authors and Affiliations

  1. University of Minnesota, 127 Vincent Hall, Minneapolis, MN, 55455, USA

    N. V. Krylov

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  1. N. V. Krylov
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Corresponding author

Correspondence to N. V. Krylov.

Additional information

The work was partially supported by NSF Grant DMS-0653121.

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Krylov, N.V. Itô’s formula for the L p -norm of stochastic \({W^{1}_{p}}\) -valued processes. Probab. Theory Relat. Fields 147, 583–605 (2010). https://doi.org/10.1007/s00440-009-0217-7

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  • Received: 12 July 2008

  • Revised: 26 March 2009

  • Published: 23 April 2009

  • Issue Date: July 2010

  • DOI: https://doi.org/10.1007/s00440-009-0217-7

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Keywords

  • Stochastic partial differential equations
  • Divergence equations
  • Itô’s formula

Mathematics Subject Classification (2000)

  • 60H15
  • 35R60
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