A relatively short proof of Itô's formula for SPDEs and its applications
Krylov, N. V.
Original · EN
We give a short proof of Itô's formula for stochastic Hilbert-space valued processes in the setting V⊂ H⊂ V* based on the possibility to lift the stochastic differentials, which are originally in V*, into H. Using this result we also prove the maximum principle for second-order SPDEs in arbitrary domains.
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