On Itô's formula for elliptic diffusion processes (Q2469653): Difference between revisions

Bardina and Jolis have proved an extension of Itô's formula for \(F(X_t,t)\) where \(X\) is a one-dimensional diffusion process such that the law of \(X_t\) has a density with certain properties, and \(F(x,t)\) has a locally square-integrable derivative in \(x\) that satisfies a mild continuity condition in \(t\). The authors here show that this formula can be re-expressed using integration over space and time with respect to local times in place of quadratic variation. They further show that when \(F\) has a locally integrable derivative in \(t\), then the mild continuity assumption in \(t\) on the derivative \(F_x\) can dropped.