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DC Field | Value | Language |
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dc.contributor.author | Bardina i Simorra, Xavier | cat |
dc.contributor.author | Rovira Escofet, Carles | cat |
dc.date.accessioned | 2012-04-10T10:09:33Z | - |
dc.date.available | 2012-04-10T10:09:33Z | - |
dc.date.issued | 2007 | - |
dc.identifier.issn | 1350-7265 | - |
dc.identifier.uri | http://hdl.handle.net/2445/23391 | - |
dc.description.abstract | Bardina and Jolis [Stochastic process. Appl. 69 (1997) 83-109] prove an extension of Ito's formula for F(Xt, t), where F(x, t) has a locally square-integrable derivative in x that satisfies a mild continuity condition in t and X is a one-dimensional diffusion process such that the law of Xt has a density satisfying certain properties. This formula was expressed using quadratic covariation. Following the ideas of Eisenbaum [Potential Anal. 13 (2000) 303-328] concerning Brownian motion, we show that one can re-express this formula using integration over space and time with respect to local times in place of quadratic covariation. We also show that when the function F has a locally integrable derivative in t, we can avoid the mild continuity condition in t for the derivative of F in x. | eng |
dc.format.extent | 11 p. | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | eng | eng |
dc.publisher | Bernoulli Society for Mathematical Statistics and Probability | - |
dc.relation.isformatof | Reproducció del document publicat a: http://doi.org/10.3150/07-bej6049 | - |
dc.relation.ispartof | Bernoulli, 2007, vol. 13, núm. 3, p. 820-830 | - |
dc.relation.uri | http://doi.org/10.3150/07-BEJ6049 | - |
dc.rights | (c) ISI/BS, International Statistical Institute, Bernoulli Society, 2007 | - |
dc.source | Articles publicats en revistes (Matemàtiques i Informàtica) | - |
dc.subject.classification | Integrals estocàstiques | cat |
dc.subject.classification | Anàlisi estocàstica | cat |
dc.subject.other | Integrals estocàstiques | eng |
dc.subject.other | Stochastic analysis | eng |
dc.title | On Ito's formula for elliptic diffusion processes | - |
dc.type | info:eu-repo/semantics/article | - |
dc.type | info:eu-repo/semantics/publishedVersion | - |
dc.identifier.idgrec | 551774 | - |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | - |
Appears in Collections: | Articles publicats en revistes (Matemàtiques i Informàtica) |
Files in This Item:
File | Description | Size | Format | |
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551774.pdf | 132.27 kB | Adobe PDF | View/Open |
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