Stochastic Calculus for Dirichlet Processes
Stochastic Calculus for Symmetric Markov Processes
(Originally titled "Stochastic Calculus for Dirichlet Processes")
(To appear in The Annals of Probability)
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.
A hard copy of this manuscript is available from the
second-named author upon request.
The manuscript can also be downloaded in
dvi form (192K)
and pdf form (344K).
(Version of April 18, 2007)
Back to preprints page
August 21, 2006, rev. April 18, 2007
