On Itô's formula for elliptic diffusion processes

DOI10.3150/07-BEJ6049MaRDI QIDQ2469653zbMATH OpenOpenAlexFDO

Authors Xavier Bardina, Carles Rovira

Publication date 6 February 2008

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0709.0627, https://projecteuclid.org/euclid.bj/1186503488

zbMATH Keywords

diffusion processesIto's formulaintegration with respect to local time

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic integrals (60H05)

Abstract: Bardina and Jolis [Stochastic process. Appl. 69 (1997) 83--109] prove an extension of It^{o}'s formula for $F(X_t,t)$, where $F(x,t)$ has a locally square-integrable derivative in $x$ that satisfies a mild continuity condition in $t$ and $X$ is a one-dimensional diffusion process such that the law of $X_t$ has a density satisfying certain properties. This formula was expressed using quadratic covariation. Following the ideas of Eisenbaum [Potential Anal. 13 (2000) 303--328] concerning Brownian motion, we show that one can re-express this formula using integration over space and time with respect to local times in place of quadratic covariation. We also show that when the function $F$ has a locally integrable derivative in $t$, we can avoid the mild continuity condition in $t$ for the derivative of $F$ in $x$.

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Cited in

(15)

• On an estimate of Cranston and McConnell for elliptic diffusions in uniform domains
• Pathwise solvability of stochastic integral equations with generalized drift and non-smooth dispersion functions
• Estimation of the density of hypoelliptic diffusion processes with application to an extended Itô's formula
• A remark on the Itô formula
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• 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
• Local time-space calculus for symmetric Lévy processes
• Itô formulas for functionals of elliptic diffusions
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• Itô formula for uniformly elliptic diffusions and Dirichlet processes
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