On time-dependent functionals of diffusions corresponding to divergence form operators (Q354753): Difference between revisions

A time-dependent function \(u(t,\cdot)\) of a diffusion defined by a non-degenerate divergence form generator, satisfying certain regularity conditions, is shown to have a quasi-continous version \(\tilde{u}\) such that \(\tilde{u}(t, X_t)\) is a Dirichlet process for quasi-every initial data w.r.t. parabolic capacity and \(\tilde{u}(t, X_t) - \tilde{u}(s, X_s)\), \(t > s\), defines an additive functional which has a decomposition as a martingale plus a process of zero quadratic variation, both of which can be explicitly characterized. Under additional conditions, this additive functional is shown to be a semi-martingale.