dc.contributor.author
Bardina i Simorra, Xavier
dc.contributor.author
Rovira Escofet, Carles
dc.date.issued
2019-04-26T08:41:12Z
dc.date.issued
2019-04-26T08:41:12Z
dc.date.issued
2019-04-26T08:41:12Z
dc.identifier
https://hdl.handle.net/2445/132421
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.
dc.format
application/pdf
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.source
Articles publicats en revistes (Matemàtiques i Informàtica)
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
