Local time for processes indexed by a partially ordered set (Q1812033): Difference between revisions

Let \(X\) be a stochastic process on \((\Omega,{\mathcal F})\) indexed by a partially ordered set \(({\mathcal E},\leq)\). A local time \(L\) of \(X\) with respect to a random measure \(\Gamma\) is a measurable function, increasing with respect to the first coordinate which verifies the occupation time formula: a.s. for all \(e\in {\mathcal E}\) and for all positive Borel functions \(f: {\mathbb R}\to {\mathbb R}\), \(\int_{\{e'\leq e\}}f(X(e',\omega))\Gamma_\omega(de') =\int_{\mathbb R} L(e,\omega,x)f(x)dx\). Given a stochastic process \(X\) indexed by a product space, sufficient conditions on the random measure \(\Gamma\) are given for the existence of a local time with respect to \(\Gamma\). Moreover, under the same conditions, the local time has a version which is a.s. finite and monotone outer-continuous. This generalizes Theorem 1 of \textit{M. Sanz} [Ann. Probab. 16, 778-792 (1998; Zbl 0645.60066)] where \(X\) is a two-parameter martingale and \(\Gamma\) is the quadratic variation process \(\langle X\rangle\). This approach also unifies and generalizes results of \textit{Yu. A. Davydov} [Teor. Veroyatn. Primen. 23, 594-605 (1978; Zbl 0388.60076)] and of \textit{J. B. Walsh} [``Temps locaux'' (1978; Zbl 0385.60063)].