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

Simple item page
dc.creatorBardina, Xavier
dc.creatorRovira, Carles
dc.date2008-03-25
dc.date.accessioned2026-07-07T09:28:17Z
dc.date.available2026-07-07T09:28:17Z
dc.descriptionWe show an It\^ o's formula for nondegenerate Brownian martingales $X_t=\int_0^t u_s dW_s$ and functions $F(x,t)$ with locally integrable derivatives in $t$ and $x$. We prove that one can express the additional term in Itô's s formula as an integral over space and time with respect to local time.
dc.identifierhttps://arxiv.org/abs/0803.3522
dc.identifierhttp://arxiv.org/abs/0803.3522
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/157399
dc.subjectProbability
dc.subject60H05
dc.titleIntegration with respect to local time and Ito's formula for smooth nondegenerate martingales
dc.typetext

Files

Collections

arXiv