Local time and stochastic area integrals
\textit{J. B. Walsh} [Temps locaux, Astérisque 52-53, 159-192 (1978; Zbl 0385.60063)] a défini la filtration (\({\mathcal E}_ x)\) des excursions du mouvement brownien linéaire B, chaque tribu étant obtenue en supprimant les excursions au dessus de x. Ce nouvel article donne une preuve complète de la continuité de toutes les \({\mathcal E}_ x\)- martingales en montrant que toute \({\mathcal E}_ x\)-martingale de carré intégrable est une intégrale stochastique double de certains processus appelés identifiables par rapport au temps local. Les auteurs définissent ensuite l'intégrale stochastique du temps local suivant une courbe aléatoire et concluent par une représentation de la décomposition de la \({\mathcal E}_ x\)-surmartingale \(\tilde L(t,x)+2x^- \) etudiée par \textit{P. McGill} [Probabilités XX, Proc. Sémin., Strasbourg 1984/85, Lect. Notes Math. 1204, 465-502 (1986; Zbl 0635.60057)], où \(\tilde L(t,x)\) est le temps local intrinsèque de B.
- Continuity of martingales in the Brownian excursion filtration
- Ray-Knight theorems related to a stochastic flow
- Quadratic covariations for the solution to a stochastic heat equation with space-time white noise
- Hölder continuity and occupation-time formulas for fBm self-intersection local time and its derivative
- Derivative of intersection local time of independent symmetric stable motions
- Two-parameter \(p,q\)-variation paths and integrations of local times
- Super Brownian motion with interactions.
- Boundary traces of shift-invariant diffusions in half-plane
- Derivative for self-intersection local time of multidimensional fractional Brownian motion
- The derivative of the intersection local time of Brownian motion through Wiener chaos
- The generalized quadratic covariation for fractional Brownian motion with Hurst index less than 1/2
- The quadratic variation for mixed-fractional Brownian motion
- scientific article; zbMATH DE number 4034785 (Why is no real title available?)
- scientific article; zbMATH DE number 125756 (Why is no real title available?)
- On the Tanaka formula for the derivative of self-intersection local time of fractional Brownian motion
- scientific article; zbMATH DE number 2078181 (Why is no real title available?)
- The \(\frac{4}{3}\)-variation of the derivative of the self-intersection Brownian local time and related processes
- Derivative for the intersection local time of two independent fractional Brownian motions
- The quadratic covariation for a weighted fractional Brownian motion
- Remarks on an integral functional driven by sub-fractional Brownian motion
- Derivatives of intersection local time for two independent symmetric \(\alpha\)-stable processes
- Limit laws for functionals of self-intersection symmetric α -stable processes
- On decomposition of the last passage time of diffusions
- On the exponential integrability of the derivative of intersection and self-intersection local time for Brownian motion and related processes
- Asymptotic properties of the derivative of self-intersection local time of fractional Brownian motion
- Temporal variation for fractional heat equations with additive white noise
- The intrinsic local time sheet of Brownian motion
- Une extension des théorèmes de Ray et Knight sur les temps locaux Browniens. (An extension of the theorems of Ray and Knight on Brownian local times)
- A martingale characterisation of the Brownian excursion compensator
- \(p\)-variation of an integral functional driven by fractional Brownian motion
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