An extension of Itô's formula for elliptic diffusion processes

DOI10.1016/S0304-4149(97)00026-4zbMath0911.60035MaRDI QIDQ1275936

Maria Jolis, Xavier Bardina

Publication date: 14 January 1999

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

Malliavin calculusdiffusion processesItô's formula

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (9)

Generalization of Itô's formula for smooth nondegenerate martingales. ⋮ Integration with respect to local time and Itô's formula for smooth nondegenerate martingales ⋮ A change of variable formula with applications to multi-dimensional optimal stopping problems ⋮ Validation of RANS Turbulence Models for the Conjugate Heat Exchange Problem ⋮ Stochastic integration with respect to additive functionals of zero quadratic variation ⋮ On Itô's formula for elliptic diffusion processes ⋮ Quadratic covariation and Itô's formula for smooth nondegenerate martingales ⋮ Nonlinear stochastic partial differential equations with singular diffusivity and gradient Stratonovich noise ⋮ Itô's formula for finite variation Lévy processes: the case of non-smooth functions

Cites Work

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• Time reversal of diffusions
• Time reversal on Lévy processes
• Stochastic representation of diffusions corresponding to divergence form operators
• Integration by parts and time reversal for diffusion processes
• Quadratic covariation and an extension of Itô's formula
• Ito formula for \(C^ 1\)-functions of semimartingales

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