Stochastic calculus for symmetric Markov processes

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.

Published in at http://dx.doi.org/10.1214/07-AOP347 the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org); Errata DOI: 10.1214/11-AOP684

References in corpus (1)

• Absolute continuity of symmetric Markov processes

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