Itô formulas for functionals of elliptic diffusions

MaRDI QIDQ4918966zbMATH OpenFDO

Authors Xiangfeng Yang

Publication date 7 May 2013

Full work available at URL http://www.m-hikari.com/ams/ams-2012/ams-65-68-2012/index.html

zbMATH Keywords

elliptic diffusionItô formulalocal time-space integral

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Diffusion processes (60J60)

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Cited in

(6)

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• Itô formula for uniformly elliptic diffusions and Dirichlet processes
• On Itô's formula for elliptic diffusion processes
• On Itô's formulae for additive functionals of symmetric diffusion processes
• Ito’s formula and Levy’s Laplacian II
• Estimation of the density of hypoelliptic diffusion processes with application to an extended Itô's formula

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