English

On It\^{o}'s formula for elliptic diffusion processes

Probability 2009-09-29 v1

Abstract

Bardina and Jolis [Stochastic process. Appl. 69 (1997) 83--109] prove an extension of It\^{o}'s formula for F(Xt,t)F(X_t,t), where F(x,t)F(x,t) has a locally square-integrable derivative in xx that satisfies a mild continuity condition in tt and XX is a one-dimensional diffusion process such that the law of XtX_t has a density satisfying certain properties. This formula was expressed using quadratic covariation. Following the ideas of Eisenbaum [Potential Anal. 13 (2000) 303--328] concerning Brownian motion, we show that one can re-express this formula using integration over space and time with respect to local times in place of quadratic covariation. We also show that when the function FF has a locally integrable derivative in tt, we can avoid the mild continuity condition in tt for the derivative of FF in xx.

Keywords

Cite

@article{arxiv.0709.0627,
  title  = {On It\^{o}'s formula for elliptic diffusion processes},
  author = {Xavier Bardina and Carles Rovira},
  journal= {arXiv preprint arXiv:0709.0627},
  year   = {2009}
}

Comments

Published at http://dx.doi.org/10.3150/07-BEJ6049 in the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)

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