On It\^{o}'s formula for elliptic diffusion processes
Abstract
Bardina and Jolis [Stochastic process. Appl. 69 (1997) 83--109] prove an extension of It\^{o}'s formula for , where has a locally square-integrable derivative in that satisfies a mild continuity condition in and is a one-dimensional diffusion process such that the law of 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 has a locally integrable derivative in , we can avoid the mild continuity condition in for the derivative of in .
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)