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.

Detalles Bibliográficos
Autores: Bardina i Simorra, Xavier, Rovira Escofet, Carles
Tipo de recurso: artículo
Estado:Versión publicada
Fecha de publicación:2010
País:España
Institución:Universidad de Barcelona
Repositorio:Dipòsit Digital de la UB
OAI Identifier:oai:diposit.ub.edu:2445/132421
Acceso en línea:https://hdl.handle.net/2445/132421
Access Level:acceso abierto
Palabra clave:Moviment brownià
Martingales (Matemàtica)
Brownian movements
Martingales (Mathematics)
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spelling Integration with respect to local time and Ito's formula for smooth nondegenerate martingalesBardina i Simorra, XavierRovira Escofet, CarlesMoviment browniàMartingales (Matemàtica)Brownian movementsMartingales (Mathematics)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.Universitat Autònoma de Barcelona2010info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://hdl.handle.net/2445/132421Articles publicats en revistes (Matemàtiques i Informàtica)reponame:Dipòsit Digital de la UBinstname:Universidad de BarcelonaInglésReproducció del document publicat a: https://doi.org/10.5565/PUBLMAT_54110_11Publicacions Matemàtiques, 2010, vol. 54, num. 1, p. 187-208https://doi.org/10.5565/PUBLMAT_54110_11(c) Universitat Autònoma de Barcelona, 2010info:eu-repo/semantics/openAccessoai:diposit.ub.edu:2445/1324212026-05-27T06:46:51Z
dc.title.none.fl_str_mv Integration with respect to local time and Ito's formula for smooth nondegenerate martingales
title Integration with respect to local time and Ito's formula for smooth nondegenerate martingales
spellingShingle Integration with respect to local time and Ito's formula for smooth nondegenerate martingales
Bardina i Simorra, Xavier
Moviment brownià
Martingales (Matemàtica)
Brownian movements
Martingales (Mathematics)
title_short Integration with respect to local time and Ito's formula for smooth nondegenerate martingales
title_full Integration with respect to local time and Ito's formula for smooth nondegenerate martingales
title_fullStr Integration with respect to local time and Ito's formula for smooth nondegenerate martingales
title_full_unstemmed Integration with respect to local time and Ito's formula for smooth nondegenerate martingales
title_sort Integration with respect to local time and Ito's formula for smooth nondegenerate martingales
dc.creator.none.fl_str_mv Bardina i Simorra, Xavier
Rovira Escofet, Carles
author Bardina i Simorra, Xavier
author_facet Bardina i Simorra, Xavier
Rovira Escofet, Carles
author_role author
author2 Rovira Escofet, Carles
author2_role author
dc.subject.none.fl_str_mv Moviment brownià
Martingales (Matemàtica)
Brownian movements
Martingales (Mathematics)
topic Moviment brownià
Martingales (Matemàtica)
Brownian movements
Martingales (Mathematics)
description 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.
publishDate 2010
dc.date.none.fl_str_mv 2010
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv https://hdl.handle.net/2445/132421
url https://hdl.handle.net/2445/132421
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.relation.none.fl_str_mv Reproducció del document publicat a: https://doi.org/10.5565/PUBLMAT_54110_11
Publicacions Matemàtiques, 2010, vol. 54, num. 1, p. 187-208
https://doi.org/10.5565/PUBLMAT_54110_11
dc.rights.none.fl_str_mv (c) Universitat Autònoma de Barcelona, 2010
info:eu-repo/semantics/openAccess
rights_invalid_str_mv (c) Universitat Autònoma de Barcelona, 2010
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universitat Autònoma de Barcelona
publisher.none.fl_str_mv Universitat Autònoma de Barcelona
dc.source.none.fl_str_mv Articles publicats en revistes (Matemàtiques i Informàtica)
reponame:Dipòsit Digital de la UB
instname:Universidad de Barcelona
instname_str Universidad de Barcelona
reponame_str Dipòsit Digital de la UB
collection Dipòsit Digital de la UB
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15.300719

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