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A mild Itô formula for SPDEs

by G. Da Prato and A. Jentzen and M. Röckner

(Report number 2013-46)

Abstract
This article introduces a certain class of stochastic processes, which we suggest to call mild Itô processes, and a new - somehow mild - Itô type formula for such processes. Examples of mild Itô processes are mild solutions of stochastic partial differential equations (SPDEs) and their numerical approximation processes.

Keywords: stochastic partial differential equations, SPDEs, Itô formula

@Techreport{DJR13_544,
  author = {G. Da Prato and A. Jentzen and M. R\"ockner},
  title = {A mild Itô formula for SPDEs},
  institution = {Seminar for Applied Mathematics, ETH Z{\"u}rich},
  number = {2013-46},
  address = {Switzerland},
  url = {https://www.sam.math.ethz.ch/sam_reports/reports_final/reports2013/2013-46.pdf },
  year = {2013}
}

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