Mathematics > Probability
[Submitted on 8 Oct 2002]
Title:Formule d'Ito pour des diffusions uniformement elliptiques et processus de Dirichlet
View PDFAbstract: If X is a d-dimensional uniformly elliptic diffusion, with initial law nu, we show that F(X) is a Dirichlet process, whenever F satisfies an integrability condition linking its weak derivative to the coefficients of the diffusion and the initial law nu.
We then show that F(X) satisfies an Ito formula, giving a construction of the stochastic integral of grad F(X) with respect to X, provided that the two first weak derivatives of F satisfy integrability conditions involving the coefficients of the diffusion and the initial law.
Si X est une diffusion uniformement elliptique d-dimensionnelle, de loi initiale nu, on montre que F(X) est un processus de Dirichlet, lorsque F verifie une condition d'integrabilite qui lie ses derivees faibles aux coefficients de la diffusion et a la loi initiale nu. On montre ensuite qu'on peut ecrire une formule d'Ito pour F(X), en donnant une construction de l'integrale stochastique de grad F(X) par rapport a X. Les conditions requises sur F sont des conditions d'integrabilite liant ses derivees faibles, premiere et seconde, aux coefficients de la diffusion et a la loi initiale nu.
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