Stochastic calculus for symmetric Markov processes

By Z.-Q. Chen, P. Fitzsimmons, K. Kuwae, T.-S. Zhang. 2008

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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.

Subfields: Finance, Management Science and Operations Research, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/b0e4ae10ad80cc2cdbced82cf902c2466ab40f0f