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arXiv · 0806.2044

Stochastic calculus for symmetric Markov processes

Z. -Q. Chen·P. J. Fitzsimmons·K. Kuwae·T. -S. Zhang
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Abstract

Using time-reversal, we introduce a stochastic integral for zero-energy additive functionals of symmetric Markov processes, extending earlier work of S. Nakao. Various properties of such stochastic integrals are discussed and an It\^{o} formula for Dirichlet processes is obtained.

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Z. -Q. Chen, P. J. Fitzsimmons, K. Kuwae, T. -S. Zhang. 2008-06-12. Stochastic calculus for symmetric Markov processes. https://doi.org/10.1214/07-aop347

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