Geodesic
Semimartingale functions of a class of diffusion processes
Teoriâ veroâtnostej i ee primeneniâ, Tome 45 (2000) no. 2, pp. 374-380

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This paper obtains the necessary and sufficient conditions on the function $f=(f(t,x), t\ge0, x\in \mathbf{R})$ for which the transformed process $f=f(t,\xi_t)$ will be a semimartingale (or the Ito process) for any diffusion process $\xi$ with measurable bounded coefficients and uniformly nondegenerate Hölder diffusion.
Keywords: semimartingale functions, generalized derivatives.
Mots-clés : diffusion process 
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     author = {M. G. Mania and R. N. Tevzadze},
     title = {Semimartingale functions of a class of diffusion processes},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {374--380},
     publisher = {mathdoc},
     volume = {45},
     number = {2},
     year = {2000},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TVP_2000_45_2_a10/}
}
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M. G. Mania; R. N. Tevzadze. Semimartingale functions of a class of diffusion processes. Teoriâ veroâtnostej i ee primeneniâ, Tome 45 (2000) no. 2, pp. 374-380. http://geodesic.mathdoc.fr/item/TVP_2000_45_2_a10/