scientific article; zbMATH DE number 1494201
The standard Wiener process \(W_t\) \((t\geq 0)\) is considered. The process \(X_t\) is said to be a local Dirichlet process if one can represent any of its parts \(X_{t\wedge\tau}\) as a sum of a martingale and a predictable continuous process with zero energy (the energy is the quadratic variation); \(\tau\) is the first exit time from an open bounded set. The following theorem is proved: The process \(f(W_t)\) \((t\geq 0)\) is a local Dirichlet process if and only if \(f\) is an absolutely continuous function with locally square integrable derivative. In particular, the process \(|W_t|^\alpha\) is a Dirichlet process if \(1/2<\alpha<1\), and it is not a Dirichlet process if \(0<\alpha< 1/2\). For the entire collection see [Zbl 0939.00029].
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