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

Author

Bardina i Simorra, Xavier

Rovira Escofet, Carles

Publication date

2019-04-26T08:41:12Z

2019-04-26T08:41:12Z

2010

2019-04-26T08:41:12Z

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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.

Document Type

Article

Published version

Language

English

Subjects and keywords

Moviment brownià; Martingales (Matemàtica); Brownian movements; Martingales (Mathematics)

Publisher

Universitat Autònoma de Barcelona

Related items

Reproducció del document publicat a: https://doi.org/10.5565/PUBLMAT_54110_11

Publicacions Matemàtiques, 2010, vol. 54, num. 1, p. 187-208

https://doi.org/10.5565/PUBLMAT_54110_11

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DIDL MARC MARC_CCUC METS OAI_DC ORE QDC RDF

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(c) Universitat Autònoma de Barcelona, 2010

This item appears in the following Collection(s)

ISGlobal - Institut de Salut Global de Barcelona [60808]

Matemàtiques i Informàtica [1007]