An extension of Itô's formula for elliptic diffusion processes
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Publication:1275936
DOI10.1016/S0304-4149(97)00026-4zbMATH Open0911.60035MaRDI QIDQ1275936FDOQ1275936
Publication date: 14 January 1999
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Stochastic calculus of variations and the Malliavin calculus (60H07) Diffusion processes (60J60) Stochastic integrals (60H05)
Cites Work
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- Time reversal of diffusions
- Integration by parts and time reversal for diffusion processes
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- Stochastic representation of diffusions corresponding to divergence form operators
- Quadratic covariation and an extension of Itô's formula
- Ito formula for \(C^ 1\)-functions of semimartingales
- Time reversal on Lévy processes
Cited In (17)
- On an estimate of Cranston and McConnell for elliptic diffusions in uniform domains
- Extension and Application of Itô's Formula UnderG-Framework
- Validation of RANS Turbulence Models for the Conjugate Heat Exchange Problem
- Quadratic covariation and Itô's formula for smooth nondegenerate martingales
- Itô's formula for finite variation Lévy processes: the case of non-smooth functions
- Estimation of the density of hypoelliptic diffusion processes with application to an extended Itô's formula
- On Itô's formulae for additive functionals of symmetric diffusion processes
- Integration with respect to local time and Itô's formula for smooth nondegenerate martingales
- Nonlinear stochastic partial differential equations with singular diffusivity and gradient Stratonovich noise
- A change of variable formula with applications to multi-dimensional optimal stopping problems
- Title not available (Why is that?)
- Criteria for regularity of elliptic diffusion processes and it's application
- Itô formula for uniformly elliptic diffusions and Dirichlet processes
- On Itô's formula for elliptic diffusion processes
- Generalization of Itô's formula for smooth nondegenerate martingales.
- An Extension of Ito’s Differentiation Formula
- Stochastic integration with respect to additive functionals of zero quadratic variation
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