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2010

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Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/132421

Integration with respect to local time and Ito's formula for smooth nondegenerate martingales

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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.

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https://doi.org/10.5565/PUBLMAT_54110_11

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Moviment brownià, Martingales (Matemàtica)

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Brownian movements, Martingales (Mathematics)

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Articles publicats en revistes (Matemàtiques i Informàtica)

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BARDINA I SIMORRA, Xavier and ROVIRA ESCOFET, Carles. Integration with respect to local time and Ito's formula for smooth nondegenerate martingales. Publicacions Matemàtiques. 2010. Vol. 54, num. 1, pags. 187-208. ISSN 0214-1493. [consulted: 5 of October of 2026]. Available at: https://hdl.handle.net/2445/132421

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