Work

Stochastic calculus for symmetric Markov processes

Year: 2008

Type: article

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.

Source: The Annals of Probability

DOI: 10.1214/07-aop347

Authors: Z.-Q. Chen, P. J. Fitzsimmons, K. Kuwae, T.-S. Zhang

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funders: National Science Foundation, University of California, San Diego, Engineering and Physical Sciences Research Council, Japan Society for the Promotion of Science

Award: Analysts on harmonic maps over geometric singular spaces via Dirichlet forms

OpenAlex ID: W1987928602

FWCI: 4.632

Cites: 13

Cited by: 36

Related to: