Dynkin's formula ($f(X_t)-f(X_0)-{\int }_0^{t}Lf(X_s)ds\text{ is a local martingale}$)

For a Markov process with infinitesimal generator $L$ and a suitable test function $f$, the displayed process is a local martingale. With integrability it is a true martingale and yields the corresponding expectation identity at admissible stopping times. For bounded $f,Lf$ in the semigroup generator domain, $P_{t}f-f={\int }_0^t{P}_{s}Lfds$. The Markov property applies this identity conditionally over each interval, proving the martingale increments have zero conditional expectation. Localization gives the local version. For a continuous diffusion, these identities are the martingale problem for $L$.