Some remarks on local time-space calculus (Q2467714)

Let \(X\) be a reversible semi-martingale satisfying certain conditions and let \(F:\mathbb R\times \mathbb R_+\to\mathbb R\) be a locally bounded measurable function such that it admits locally bounded Radon-Nikodym derivatives \(\partial f/\partial t\) and \(\partial F/\partial x\), then the following change-of-variable formula is valid: \[ \begin{multlined} F(X_t,t)=F(X_0,0)+\int^t_0\frac{\partial F}{\partial t}(X_{s-},s)\,ds+\int^t_0\frac{\partial F}{\partial x}(X_{s-},s)\,dX_s+\sum_{0<s\leq t}\left\{F(X_s,s)-F(X_{s-},s)\right.\\ \left.-\frac{\partial F}{\partial x}\,(X_{s-},s)\Delta X_s\right\} -\frac12\int^t_0\int_{\mathbb R}\frac{\partial F}{\partial x}\,(x,s)\,dL^x_s\end{multlined} \] where \(L^x_s\) is the local time of \(X\) at \(x\), and \(dL^x_s\) denotes the stochastic area integral with respect to \((s,x)\to L^x_s\) defined by \textit{N. Eisenbaum} [Stochastic Processes Appl. 116, No.~5, 757--778 (2006; Zbl 1114.60044)]. Furthermore, some results are extended from deterministic integrated functions to random functions. We establish the conditions for the existence of such stochastic area integration and give some representations of this integral.