Stochastic representation of diffusions corresponding to divergence form operators (Q1363463)

Let us consider a uniformly parabolic divergence form operator \( L=\partial _{t} + \partial _{j}(\frac 12 a^{ij}(t,\cdot ) \partial _{i})+ b^{i}(t,\cdot )\partial _{i}\) on \([s,T]\times \mathbf R^{d}\) with bounded measurable coefficients, let \((X,P^{s,x})\) be the associated \(d\)-dimensional diffusion. The author proves that for every \((s,x)\) and any function \(\varphi \) in the Sobolev space \(W^{1,p}_{\roman {loc}}(\mathbf R^{d})\) with \(p>\max (2,d)\) there exist processes \(M\) and \(N\) being local martingales with respect to the natural filtrations of processes \(X\) and \((X_{T+s-\cdot })\), respectively, and a process \(V\) of finite variation such that \(\varphi (X)\) admits a decomposition \[ \varphi (X_{t})-\varphi (X_{s}) = \tfrac 12 \{ M_{t} + N_{T+s-t}-N_{T} - V_{t}\}, \quad t\in [s,T], \text{\(P^{s,x}\)-a.s.}. \] Moreover, he shows that \(\varphi (X)\) is a Dirichlet process for all \((s,x)\). Related results were previously obtained, but only for quasi-every starting point, by means of the Dirichlet forms theory, see e.g. \textit{T. J. Lyons} and \textit{W. A. Zheng} [Proc. R. Soc. Edinb., Sect. A 115, No. 3/4, 231-242 (1990; Zbl 0715.60096)]. As a consequence, the Itô formula \(f(X_{t}) = f(X_{s}) + \int ^{t}_{s} \partial _{i}f(X_{u})\circ \roman dX^{i} _{u}\) is established for functions \(f\in W^{2,p}_{\roman {loc}} (\mathbf R^{d})\).