Please use this identifier to cite or link to this item: http://hdl.handle.net/2445/23391
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dc.contributor.authorBardina i Simorra, Xaviercat
dc.contributor.authorRovira Escofet, Carlescat
dc.date.accessioned2012-04-10T10:09:33Z-
dc.date.available2012-04-10T10:09:33Z-
dc.date.issued2007-
dc.identifier.issn1350-7265-
dc.identifier.urihttp://hdl.handle.net/2445/23391-
dc.description.abstractBardina and Jolis [Stochastic process. Appl. 69 (1997) 83-109] prove an extension of Ito's formula for F(Xt, t), where F(x, t) has a locally square-integrable derivative in x that satisfies a mild continuity condition in t and X is a one-dimensional diffusion process such that the law of Xt has a density satisfying certain properties. This formula was expressed using quadratic covariation. Following the ideas of Eisenbaum [Potential Anal. 13 (2000) 303-328] concerning Brownian motion, we show that one can re-express this formula using integration over space and time with respect to local times in place of quadratic covariation. We also show that when the function F has a locally integrable derivative in t, we can avoid the mild continuity condition in t for the derivative of F in x.eng
dc.format.extent11 p.-
dc.format.mimetypeapplication/pdf-
dc.language.isoengeng
dc.publisherBernoulli Society for Mathematical Statistics and Probability-
dc.relation.isformatofReproducció del document publicat a: http://doi.org/10.3150/07-bej6049-
dc.relation.ispartofBernoulli, 2007, vol. 13, núm. 3, p. 820-830-
dc.relation.urihttp://doi.org/10.3150/07-BEJ6049-
dc.rights(c) ISI/BS, International Statistical Institute, Bernoulli Society, 2007-
dc.sourceArticles publicats en revistes (Matemàtiques i Informàtica)-
dc.subject.classificationIntegrals estocàstiquescat
dc.subject.classificationAnàlisi estocàsticacat
dc.subject.otherIntegrals estocàstiqueseng
dc.subject.otherStochastic analysiseng
dc.titleOn Ito's formula for elliptic diffusion processes-
dc.typeinfo:eu-repo/semantics/article-
dc.typeinfo:eu-repo/semantics/publishedVersion-
dc.identifier.idgrec551774-
dc.rights.accessRightsinfo:eu-repo/semantics/openAccess-
Appears in Collections:Articles publicats en revistes (Matemàtiques i Informàtica)

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