Dirichlet processes associated to diffusions

DOI10.1080/17442500108834264MaRDI QIDQ2747860zbMATH OpenOpenAlexFDO

Authors P. Mathieu

Publication date 21 April 2002

Published in Stochastics and Stochastics Reports (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442500108834264

zbMATH Keywords

diffusionsDirichlet formsDirichlet processes

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Diffusion processes (60J60)

Review text

For \(f\in C^1\) and a diffusion process \(W(t)\) there are given sufficient conditions in order to \(f(W(t))\) be a Dirichlet process. The proof relies on weighted norm inequalities for a continuous martingale [from \textit{P. Mathieu}, Ann. Inst. Henri Poincaré, Probab. Stat. 29, No. 4, 467-484 (1993; Zbl 0801.60034)].

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Cites work

• On Itô's formula for multidimensional Brownian motion
• Stochastic representation of diffusions corresponding to divergence form operators

Cited in

(9)

• On the convergence of Dirichlet processes
• Weak Dirichlet processes with jumps
• A remark on conditions that a diffusion in the natural scale is a martingale
• On non-continuous Dirichlet processes
• Diffusion processes with non-smooth diffusion coefficients and their density functions
• A Malliavin calculus method to study densities of additive functionals of SDE's with irregular drifts
• scientific article; zbMATH DE number 1494201 (Why is no real title available?)
• Asymptotic behavior of Dirichlet process and related random measures
• scientific article; zbMATH DE number 5182665 (Why is no real title available?)

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