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Generalized Ito's formula and additive functionals of Brownian motion

  • Albert T. Wang
Article

Summary

An extension of Ito's formula to convex functions is obtained, and a version of its converse is investigated. By using the generalized Ito's formula obtained here and that obtained by G. Brosamler for higher dimensional Brownian motion, a transparent proof of the correspondence between measures and nonnegative continuous (homogeneous) additive functionals is given.

Keywords

Stochastic Process Brownian Motion Probability Theory Mathematical Biology Additive Functional 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag 1977

Authors and Affiliations

  • Albert T. Wang
    • 1
  1. 1.Department of MathematicsUniversity of TennesseeKnoxvilleUSA

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