arXiv subjects
Publications and source records attributed to Alexander Walsh.
We consider a Markov process $X$ associated to a nonnecessarily symmetric Dirichlet form $\mathcal{E}$. We define a stochastic integral with respect to a class of additive functionals of zero quadratic variation and then we obtain an Itô formula for the process $u(X)$, when $u$ is locally in the domain of $\mathcal{E}$.
Chen, Fitzsimmons, Kuwae and Zhang (Ann. Probab. 36 (2008) 931-970) have established an Ito formula consisting in the development of F(u(X)) for a symmetric Markov process X, a function u in the Dirichlet space of X and any $\mathcal{C}^2$-function F. We give here an extension of this formula for u locally in the Dirichlet space of X and F admitting a locally bounded Radon-Nikodym derivative. This formula has some analogies with various extended Ito formulas for semi-martingales using the local time stochastic calculus. But here the part of the local time is played by a process $(Γ^a_t,a\in \mathbb{R},t \geq 0)$ defined thanks to Nakao's operator (Z. Wahrsch. Verw. Gebiete 68 (1985) 557-578).