Integration with respect to local time and Ito's formula for smooth nondegenerate martingales
| dc.contributor.author | Bardina i Simorra, Xavier | |
| dc.contributor.author | Rovira Escofet, Carles | |
| dc.date.accessioned | 2019-04-26T08:41:12Z | |
| dc.date.available | 2019-04-26T08:41:12Z | |
| dc.date.issued | 2010 | |
| dc.date.updated | 2019-04-26T08:41:12Z | |
| dc.description.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. | |
| dc.format.extent | 22 p. | |
| dc.format.mimetype | application/pdf | |
| dc.identifier.idgrec | 582396 | |
| dc.identifier.issn | 0214-1493 | |
| dc.identifier.uri | https://hdl.handle.net/2445/132421 | |
| dc.language.iso | eng | |
| dc.publisher | Universitat Autònoma de Barcelona | |
| dc.relation.isformatof | Reproducció del document publicat a: https://doi.org/10.5565/PUBLMAT_54110_11 | |
| dc.relation.ispartof | Publicacions Matemàtiques, 2010, vol. 54, num. 1, p. 187-208 | |
| dc.relation.uri | https://doi.org/10.5565/PUBLMAT_54110_11 | |
| dc.rights | (c) Universitat Autònoma de Barcelona, 2010 | |
| dc.rights.accessRights | info:eu-repo/semantics/openAccess | |
| dc.source | Articles publicats en revistes (Matemàtiques i Informàtica) | |
| dc.subject.classification | Moviment brownià | |
| dc.subject.classification | Martingales (Matemàtica) | |
| dc.subject.other | Brownian movements | |
| dc.subject.other | Martingales (Mathematics) | |
| dc.title | Integration with respect to local time and Ito's formula for smooth nondegenerate martingales | |
| dc.type | info:eu-repo/semantics/article | |
| dc.type | info:eu-repo/semantics/publishedVersion |
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