A Change-of-Variable Formula with Local Time on Surfaces
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Publication:5423745
DOI10.1007/978-3-540-71189-6_2zbMath1141.60035OpenAlexW2115527256MaRDI QIDQ5423745
Publication date: 31 October 2007
Published in: Lecture Notes in Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-540-71189-6_2
Brownian motionDiffusionWeak convergenceItô's formulaOptimal stoppingSigned measureTanaka's formulaSemimartingaleSurfaceLocal timeCurveLocal time-space calculusFree-boundary problems
Brownian motion (60J65) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Stochastic integrals (60H05) Free boundary problems for PDEs (35R35) Local time and additive functionals (60J55)
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