An extension of Itô's formula for elliptic diffusion processes
Recently, \textit{H. Föllmer, P. Protter} and \textit{A. N. Shiryayev} extended Itô's formula to processes of the form \(F(X_{t})\), where \(F\) is an absolutely continuous function on \(\mathbb R\) with locally square integrable derivative and \(X\) is a standard one-dimensional Wiener process [see Bernoulli 1, No. 1/2, 149-169 (1995; Zbl 0851.60048)]. In the present paper, their result is further generalized, \(X_{t}\) being assumed now to be a one-dimensional diffusion process solving a stochastic differential equation \[ dX_{t} = b(t,X_{t}) dt + \sigma (t,X_{t}) dW_{t} \] with Lipschitz continuous coefficients of a linear growth and such that \(X_{t}\) has a density \(p_{t}(x)\) satisfying some integrability conditions. Functions \(F\) depending on \(t\) are allowed as well. In the second part of the paper the authors find, using the Malliavin calculus, sufficient conditions (in terms of the non-degeneracy of \(\sigma \) and regularity of \(b\) and \(\sigma \)) for the assumptions on \(p_{t}\) to hold.
- On Itô's formula for elliptic diffusion processes
- Itô formulas for functionals of elliptic diffusions
- Itô formula for uniformly elliptic diffusions and Dirichlet processes
- Estimation of the density of hypoelliptic diffusion processes with application to an extended Itô's formula
- An Extension of Ito’s Differentiation Formula
- Publication:3209952
- scientific article; zbMATH DE number 850220
- On Itô's formulae for additive functionals of symmetric diffusion processes
- scientific article; zbMATH DE number 3883346 (Why is no real title available?)
- scientific article; zbMATH DE number 3907486 (Why is no real title available?)
- scientific article; zbMATH DE number 3982184 (Why is no real title available?)
- scientific article; zbMATH DE number 785439 (Why is no real title available?)
- Integration by parts and time reversal for diffusion processes
- Ito formula for C^ 1-functions of semimartingales
- Quadratic covariation and an extension of Itô's formula
- Stochastic representation of diffusions corresponding to divergence form operators
- Time reversal of diffusions
- Time reversal on Lévy processes
- On an estimate of Cranston and McConnell for elliptic diffusions in uniform domains
- Itô formula for uniformly elliptic diffusions and Dirichlet processes
- Generalization of Itô's formula for smooth nondegenerate martingales.
- Extended Itô calculus for symmetric Markov processes
- Itô's formula for finite variation Lévy processes: the case of non-smooth functions
- Stochastic integration with respect to additive functionals of zero quadratic variation
- On Itô's formula for elliptic diffusion processes
- On Itô's formulae for additive functionals of symmetric diffusion processes
- Criteria for regularity of elliptic diffusion processes and it's application
- scientific article; zbMATH DE number 4145053 (Why is no real title available?)
- Solutions of some elliptic equations associated with a piecewise continuous process
- An Extension of Ito’s Differentiation Formula
- scientific article; zbMATH DE number 1494216 (Why is no real title available?)
- scientific article; zbMATH DE number 841847 (Why is no real title available?)
- Itô formulas for functionals of elliptic diffusions
- Itô formula for an integro-differential operator without an associated stochastic process
- Extension and Application of Itô's Formula UnderG-Framework
- Estimates for the probability that Itô processes remain near a path
- Quadratic covariation and Itô's formula for smooth nondegenerate martingales
- Estimation of the density of hypoelliptic diffusion processes with application to an extended Itô's formula
- A change of variable formula with applications to multi-dimensional optimal stopping problems
- Validation of RANS Turbulence Models for the Conjugate Heat Exchange Problem
- Itô-Krylov's formula for a flow of measures
- Nonlinear stochastic partial differential equations with singular diffusivity and gradient Stratonovich noise
- Integration with respect to local time and Itô's formula for smooth nondegenerate martingales
- Lower bounds for the density of locally elliptic Itô processes
This page was built for publication: An extension of Itô's formula for elliptic diffusion processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1275936)
