A Generalized It$\hat {\rm o}$'s Formula in Two-Dimensions and Stochastic Lebesgue-Stieltjes Integrals
| dc.creator | Feng, Chunrong | |
| dc.creator | Zhao, Huaizhong | |
| dc.date | 2005-05-10 | |
| dc.date | 2005-09-08 | |
| dc.date.accessioned | 2026-07-07T10:17:47Z | |
| dc.date.available | 2026-07-07T10:17:47Z | |
| dc.description | A generalized It${\hat {\rm o}}$ formula for time dependent functions of two-dimensional continuous semi-martingales is proved. The formula uses the local time of each coordinate process of the semi-martingale, left space and time first derivatives and second derivative $\nabla_1^- \nabla_2^-f$ only which are assumed to be of locally bounded variation in certain variables, and stochastic Lebesgue-Stieltjes integrals of two parameters.The two-parameter integral is defined as a natural generalization of the It${\hat {\rm o}}$ integral and Lebesgue-Stieltjes integral through a type of It${\hat {\rm o}}$ isometry formula. | |
| dc.description | Modify pages 4-9 and add more references | |
| dc.identifier | https://arxiv.org/abs/math/0505196 | |
| dc.identifier | http://arxiv.org/abs/math/0505196 | |
| dc.identifier | Electronic Journal of Probability, Vol. 12 (2007), 1568-1599. | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/173973 | |
| dc.subject | Probability | |
| dc.subject | 60H05, 60J55 | |
| dc.title | A Generalized It$\hat {\rm o}$'s Formula in Two-Dimensions and Stochastic Lebesgue-Stieltjes Integrals | |
| dc.type | text |