Some identities on semimartingales local times (Q1579852)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Some identities on semimartingales local times |
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Some identities on semimartingales local times (English)
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13 June 2001
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This paper is composed mostly of remarks and small generalizations of the Lemmata 1 and 2 of \textit{M. Émery} and \textit{M. Yor's} paper [in: Séminaire de probabilités XXXII. Lect. Notes Math. 1686, 306-312 (1998; Zbl 0949.60088)]. Moreover, in Section 2, in generalizing an earlier result of \textit{Y. Ouknine} [in: Séminaire de probabilités XXIV. Lect. Notes Math. 1426, 477-479 (1990; Zbl 0703.60070)], a new comparison theorem for local times of semimartingales is given.
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local time
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Tanaka's formula
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semimartingale
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