Extended Itô calculus for symmetric Markov processes (Q1932222): Difference between revisions

The authors extend an Itô formula consisting in the development of \(F(u(X))\) for a symmetric Markov process \(X\), a function \(u\) in the Dirichlet space of \(X\) and any \(C^2\) function \(F\) proved by \textit{Z.-Q. Chen} et al., [Ann. Probab. 36, No. 3, 931-970 (2008; Zbl 1142.31005)]. In this paper the function \(u\) is locally in the Dirichlet space of \(X\) and \(F\) admits a locally bounded Radon-Nikodym derivative. This formula has some analogies with various extended Itô formulas for semi-martingales using the local time stochastic calculus. Here, however, the role of the local time is played by a process defined by means of an operator on a space of martingales with finite energy constructed by \textit{S. Nakao} [Z. Wahrscheinlichkeitstheor. Verw. Geb. 68, 557--578 (1985; Zbl 0604.60068)].