On Itô's formula for elliptic diffusion processes

DOI10.3150/07-BEJ6049zbMath1133.60024arXiv0709.0627OpenAlexW3102810985MaRDI QIDQ2469653

Xavier Bardina, Carles Rovira

Publication date: 6 February 2008

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0709.0627

zbMATH Keywords

diffusion processesIto's formulaintegration with respect to local time

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic integrals (60H05)

Related Items (6)

Pathwise solvability of stochastic integral equations with generalized drift and non-smooth dispersion functions ⋮ Integration with respect to local time and Itô's formula for smooth nondegenerate martingales ⋮ Stochastic integration with respect to additive functionals of zero quadratic variation ⋮ The generalized Bouleau-Yor identity for a sub-fractional Brownian motion ⋮ Local time-space calculus for symmetric Lévy processes ⋮ Nonlinear stochastic partial differential equations with singular diffusivity and gradient Stratonovich noise

Cites Work

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• An extension of Itô's formula for elliptic diffusion processes
• Itô's formula for \(C^{1,\lambda}\)-functions of a càdlàg process and related calculus
• Integration by parts and time reversal for diffusion processes
• Integration with respect to local time
• Itô formula for uniformly elliptic diffusions and Dirichlet processes
• Quadratic covariation and an extension of Itô's formula
• Local time-space stochastic calculus for Lévy processes
• A change-of-variable formula with local time on curves
• Note on continuous additive functional of the 1-dimensional Brownian path
• On Square Integrable Martingales
• Stochastic integral

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