Stochastic calculus for symmetric Markov processes

被引：37

作者：

Chen, Z. -Q. ^{[1
]}

Fitzsimmons, P. J. ^{[2
]}

Kuwae, K. ^{[3
]}

Zhang, T. -S. ^{[4
]}

机构：

[1] Univ Washington, Dept Math, Seattle, WA 98195 USA

[2] Univ Calif San Diego, Dept Math, La Jolla, CA 92093 USA

[3] Kumamoto Univ, Dept Math, Fac Educ, Kumamoto 8608555, Japan

[4] Univ Manchester, Sch Math, Manchester M60 1QD, Lancs, England

来源：

ANNALS OF PROBABILITY | 2008年 / 36卷 / 03期

关键词：

symmetric Markov process; time reversal; stochastic integral; generalized Ito formula; additive functional; martingale additive functional; dual additive functional; Revuz measure; dual predictable projection;

D O I：

10.1214/07-AOP347

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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 Ito formula for Dirichlet processes is obtained.

引用

页码：931 / 970

页数：40

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