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The usual convention is that italics represent direct thought, usually of the POV character used for the narration.
It never pays to assume that your readers are stupid. It also doesn't pay to remind your readers that they are reading.
If the ghost characters are introduced to the reader as ghosts, their speeches could be formatted the same as any other characters' speech -- in regular font. Explaining or showing that no one else can hear them, if that's the case, would be information given to the reader like any other piece of information, and become part of their character information that the readers keep in mind.
Hope that helps.