Integration with respect to local time and Ito's formula for smooth nondegenerate martingales
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.
| Autores: | , |
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| Formato: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2010 |
| País: | España |
| Recursos: | Universidad de Barcelona |
| Repositorio: | Dipòsit Digital de la UB |
| OAI Identifier: | oai:diposit.ub.edu:2445/132421 |
| Acesso em linha: | https://hdl.handle.net/2445/132421 |
| Access Level: | acceso abierto |
| Palavra-chave: | Moviment brownià Martingales (Matemàtica) Brownian movements Martingales (Mathematics) |
| Resumo: | 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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