Integration with respect to local time and Itô's formula for smooth nondegenerate martingales
Bardina i Simorra, Xavier (Universitat Autònoma de Barcelona. Departament de Matemàtiques)
Rovira, Carles (Universitat de Barcelona. Facultat de Matemàtiques)

Date:	2010
Abstract:	We show an Itˆo's formula for nondegenerate Brownian martingales Xt =ς t/0 us dWs and functions F(x, t) with locally integrable derivatives in t and x. We prove that one can express the additional term in Itˆo's s formula as an integral over space and time with respect to local time.
Rights:	Tots els drets reservats.
Language:	Anglès
Document:	Article ; recerca ; Versió publicada
Published in:	Publicacions matemàtiques, V. 54 n. 1 (2010) p. 187-208, ISSN 2014-4350

Adreça alternativa: https://raco.cat/index.php/PublicacionsMatematiques/article/view/154824
DOI: 10.5565/PUBLMAT_54110_11

22 p, 204.1 KB

The record appears in these collections:
Articles > Published articles > Publicacions matemàtiques
Articles > Research articles