Integration with respect to local time and Itô's formula for smooth nondegenerate martingales (Q845062)

The authors consider a continuous nondegenerate martingale of adapted stochastic process with respect to standard Brownian motion. Also, let \(F\) be an absolutely continuous function of time and space, with partial derivatives satisfying some local integrability properties. The main aim of the paper is to obtain an Itôs formula for \(F(X_t,t)\), where the term corresponding usually to the second order derivative is expressed as an integral over space and time with respect to local time. The main tool is Malliavin calculus, the integrand is supposed to have three integrable stochastic derivatives.