The C0,1 It\o-Ventzell formula for weak Dirichlet processes
Abstract
This paper proves an extension of the It\o-Ventzell formula that applies to stochastic flows in C0,1 for continuous weak Dirichlet processes. We apply this theorem, for example, to give a representation result for strong solutions of time-dependent elliptic SPDEs, to derive formulas for quadratic variations, and to relax assumptions in a financial mathematics context.
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