Stochastic Calculus for Dirichlet Processes

Stochastic Calculus for Symmetric Markov Processes

(Originally titled "Stochastic Calculus for Dirichlet Processes")

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

(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)
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August 21, 2006, rev. April 18, 2007