On decomposition of additive functionals of reflecting Brownian motions
Let X be a locally compact separable Hausdorff metric space and m be a positive Radon measure on X with full support. For an m-symmetric Hunt process M = (Xt, Px) on X with the associated Dirichlet form (ε,.F) being regular on L 2 (X; m), the following decomposition of additive functionals (AF’s in abbreviaton) is known ():
P x — almost surely, which holds for quasi every (q.e. in abbreviation) x ∈ X Here u is a quasi- continuous function in the space F, Mat [u] is a martingale AF with quadratic variation being associated with the energy measure of u, Nt [u] is a continuous AF of zero energy and `for q.e. x ∈ X’ means `for every x ∈ X outside a set of zero capacity’. (1.1) is beyond a semimartingale decomposition in that N t [u] is of zero quadratic variation Pm-a.s. but not necessarily of bounded variation Px-a.s. on each finite time interval. Nevertheless both M t [u] and N t [u] are well computable from u through the Dirichlet form ε and accordingly the decomposition (1.1) has proved to be a useful substitute of Ito’s formula for symmetric Markov processes.
KeywordsBrownian Motion Lipschitz Domain Dirichlet Form Additive Functional Bound Lipschitz Domain
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