On Itô's formula for elliptic diffusion processes

الأصل · EN

Bardina and Jolis [Stochastic process. Appl. 69 (1997) 83--109] prove an extension of Itô'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.