Space-time harmonic functions along Brownian motion
ID: space-time-harmonic-functions-along-brownian-motion
For and standard Brownian motion , the drift in Itô formula for vanishes exactly when the displayed equation holds for every spatial point and every . Necessity follows because a zero finite-variation integral has continuous integrand equal to zero, and at every positive time the normal distribution of has full support. Continuity extends the equation to time zero. There is no condition at negative times except compatibility with the global smoothness of .
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