A Generalized Occupation Time Formula For Continuous Semimartingales

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dc.creatorGhomrasni, Raouf
dc.date2006-12-22
dc.date.accessioned2026-07-07T07:36:52Z
dc.date.available2026-07-07T07:36:52Z
dc.descriptionWe show that for a wide class of functions $F$ that: $$ {\lim_{ε\downarrow 0} {\frac{1}ε} \int_0^t \Big\{F(s, X_s) - F(s, X_s - ε)\Big\} d\big<X,X\big>_s} = - \int_0^t\int_{\R} F(s, x) d L_s^x $$ where $X_t$ is a continuous semi-martingale, $(L_t^x, x \in \R, t \geq 0)$ its local time process and $(\big<X,X\big>_t, t \geq 0)$ its quadratic variation process.
dc.description3 pages
dc.identifierhttps://arxiv.org/abs/math/0612699
dc.identifierhttp://arxiv.org/abs/math/0612699
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/120578
dc.subjectProbability
dc.subject60H05, 60J65
dc.titleA Generalized Occupation Time Formula For Continuous Semimartingales
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