Stochastic calculus for symmetric markov processes

Z. Q. Chen; P. J. Fitzsimmons; K. Kuwae; T. S. Zhang

doi:10.1214/07-AOP347

Stochastic calculus for symmetric markov processes

Z. Q. Chen^*, P. J. Fitzsimmons, K. Kuwae, T. S. Zhang

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

39 Citations (Scopus)

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 Itô formula for Dirichlet processes is obtained.

Original language	English
Pages (from-to)	931-970
Number of pages	40
Journal	Annals of Probability
Volume	36
Issue number	3
DOIs	https://doi.org/10.1214/07-AOP347
Publication status	Published - May 2008
Externally published	Yes

Keywords

Additive functional
Dual additive functional
Dual predictable projection
Generalized itô formula
Martingale additive functional
Revuz measure
Symmetric markov process
Time reversal, stochastic integral

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Chen, Z. Q., Fitzsimmons, P. J., Kuwae, K., & Zhang, T. S. (2008). Stochastic calculus for symmetric markov processes. Annals of Probability, 36(3), 931-970. https://doi.org/10.1214/07-AOP347

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keywords = "Additive functional, Dual additive functional, Dual predictable projection, Generalized it{\^o} formula, Martingale additive functional, Revuz measure, Symmetric markov process, Time reversal, stochastic integral",

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AU - Kuwae, K.

AU - Zhang, T. S.

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KW - Additive functional

KW - Dual additive functional

KW - Dual predictable projection

KW - Generalized itô formula

KW - Martingale additive functional

KW - Revuz measure

KW - Symmetric markov process

KW - Time reversal, stochastic integral

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JO - Annals of Probability

JF - Annals of Probability

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ER -

Stochastic calculus for symmetric markov processes

Abstract

Keywords

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