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2010 Integration with respect to local time and Itô's formula for smooth nondegenerate martingales
Xavier Bardina, Carles Rovira
Publ. Mat. 54(1): 187-208 (2010).

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.

Citation

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Xavier Bardina. Carles Rovira. "Integration with respect to local time and Itô's formula for smooth nondegenerate martingales." Publ. Mat. 54 (1) 187 - 208, 2010.

Information

Published: 2010
First available in Project Euclid: 8 January 2010

zbMATH: 1187.60042
MathSciNet: MR2603596

Subjects:
Primary: 60G44, 60H05

Rights: Copyright © 2010 Universitat Autònoma de Barcelona, Departament de Matemàtiques

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Vol.54 • No. 1 • 2010
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