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A Generalization of Itô's Formula and the Stability of Stochastic Volterra Integral Equations

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  • Wenxue Li
  • Meng Liu
  • Ke Wang

Abstract

It is well known that Itô’s formula is an essential tool in stochastic analysis. But it cannot be used for general stochastic Volterra integral equations (SVIEs). In this paper, we first introduce the concept of quasi-Itô process which is a generalization of well-known Itô process. And then we extend Itô’s formula to a more general form applicable to some kinds of SVIEs. Furthermore, the stability in probability for some SVIEs is analyzed by the generalized Itô’s formula. Our work shows that the generalized Itô’s formula is powerful and flexible to use in many relevant fields.

Suggested Citation

  • Wenxue Li & Meng Liu & Ke Wang, 2012. "A Generalization of Itô's Formula and the Stability of Stochastic Volterra Integral Equations," Journal of Applied Mathematics, Hindawi, vol. 2012, pages 1-16, August.
    • Handle: RePEc:hin:jnljam:292740
    DOI: 10.1155/2012/292740
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