Integration with respect to local time and Ito's formula for smooth nondegenerate martingales

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dc.contributor	Universitat de Barcelona
dc.contributor.author	Bardina i Simorra, Xavier
dc.contributor.author	Rovira Escofet, Carles
dc.date	2019-04-26T08:41:12Z
dc.date	2019-04-26T08:41:12Z
dc.date	2010
dc.date	2019-04-26T08:41:12Z
dc.identifier.citation	0214-1493
dc.identifier.citation	582396
dc.identifier.uri	http://hdl.handle.net/2445/132421
dc.format	22 p.
dc.format	application/pdf
dc.language.iso	eng
dc.publisher	Universitat Autònoma de Barcelona
dc.relation	Reproducció del document publicat a: https://doi.org/10.5565/PUBLMAT_54110_11
dc.relation	Publicacions Matemàtiques, 2010, vol. 54, num. 1, p. 187-208
dc.relation	https://doi.org/10.5565/PUBLMAT_54110_11
dc.rights	(c) Universitat Autònoma de Barcelona, 2010
dc.rights	info:eu-repo/semantics/openAccess
dc.subject	Moviment brownià
dc.subject	Martingales (Matemàtica)
dc.subject	Brownian movements
dc.subject	Martingales (Mathematics)
dc.title	Integration with respect to local time and Ito's formula for smooth nondegenerate martingales
dc.type	info:eu-repo/semantics/article
dc.type	info:eu-repo/semantics/publishedVersion
dc.description.abstract	We show an It o's formula for nondegenerate Brownian martingales Xt = R 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 It o's s formula as an integral over space and time with respect to local time.

Bardina i Simorra, Xavier; Rovira Escofet, Carles

Márquez, David (Márquez Carreras); Rovira Escofet, Carles; Tindel, Samy

Márquez, David (Márquez Carreras); Rovira Escofet, Carles

Nualart, David, 1951-; Rovira Escofet, Carles

Ferrante, Marco; Rovira Escofet, Carles

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