Stochastic calculus for symmetric Markov processes
Probability
2012-05-29 v1
Abstract
Using time-reversal, we introduce a stochastic integral for zero-energy additive functionals of symmetric Markov processes, extending earlier work of S. Nakao. Various properties of such stochastic integrals are discussed and an It\^{o} formula for Dirichlet processes is obtained.
Cite
@article{arxiv.0806.2044,
title = {Stochastic calculus for symmetric Markov processes},
author = {Z. -Q. Chen and P. J. Fitzsimmons and K. Kuwae and T. -S. Zhang},
journal= {arXiv preprint arXiv:0806.2044},
year = {2012}
}
Comments
Published in at http://dx.doi.org/10.1214/07-AOP347 the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org); Errata DOI: 10.1214/11-AOP684