A Tanaka formula for the derivative of intersection local time in $\reals^1$
| dc.creator | Markowsky, Greg | |
| dc.date | 2006-09-04 | |
| dc.date.accessioned | 2026-07-07T07:24:27Z | |
| dc.date.available | 2026-07-07T07:24:27Z | |
| dc.description | Let $B_t$ be a one dimensional Brownian motion, and let $α'$ denote the derivative of the intersection local time of $B_t$ as defined in Jay Rosen's work (see references). The object of this paper is to prove the following formula $(1/2)α'_t(x) + (1/2)sgn(x)t = \int_0^t L_s^{B_s - x}dB_s - \int_0^t sgn(B_t - B_u - x) du$ which was given as a formal identity by Rosen without proof. | |
| dc.identifier | https://arxiv.org/abs/math/0609084 | |
| dc.identifier | http://arxiv.org/abs/math/0609084 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/116362 | |
| dc.subject | Probability | |
| dc.subject | 60G17 | |
| dc.title | A Tanaka formula for the derivative of intersection local time in $\reals^1$ | |
| dc.type | text |