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

Abstract

We show an Itô's formula for nondegenerate Brownian martingales $X_t=\int_0^t u_s \,dW_s$ and functions $F(x,t)$ with locally integrable derivatives in $t$ and $x$. We prove that one can express the additional term in Itô's s formula as an integral over space and time with respect to local time.