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http://hdl.handle.net/2445/132421| Title: | Integration with respect to local time and Ito's formula for smooth nondegenerate martingales |
| Author: | Bardina i Simorra, Xavier Rovira Escofet, Carles |
| Keywords: | Moviment brownià Martingales (Matemàtica) Brownian movements Martingales (Mathematics) |
| Issue Date: | 2010 |
| Publisher: | Universitat Autònoma de Barcelona |
| 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. |
| Note: | Reproducció del document publicat a: https://doi.org/10.5565/PUBLMAT_54110_11 |
| It is part of: | Publicacions Matemàtiques, 2010, vol. 54, num. 1, p. 187-208 |
| URI: | http://hdl.handle.net/2445/132421 |
| Related resource: | https://doi.org/10.5565/PUBLMAT_54110_11 |
| ISSN: | 0214-1493 |
| Appears in Collections: | Articles publicats en revistes (Matemàtiques i Informàtica) |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| 582396.pdf | 204.07 kB | Adobe PDF | View/Open |
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