General change of variable formulas for semimartingales in one and finite dimensions
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Publication:1326269
DOI10.1007/BF01195071zbMath0792.60045MaRDI QIDQ1326269
Jaime San Martín, Philip E. Protter
Publication date: 24 July 1994
Published in: Probability Theory and Related Fields (Search for Journal in Brave)
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60G44: Martingales with continuous parameter
60G07: General theory of stochastic processes
60H05: Stochastic integrals
60H20: Stochastic integral equations
Related Items
Some limit theorems connected with Brownian local time, Local time-space stochastic calculus for Lévy processes
Cites Work
- On semimartingale decompositions of convex functions of semimartingales
- A multidimensional process involving local time
- A representation for the intersection local time of Brownian motion in space
- One-dimensional Stratonovich differential equations
- SOME NEW RESULTS IN THE THEORY OF CONTROLLED DIFFUSION PROCESSES
- Semimartingales and Markov processes
- Local times of functions of continuous semimartingales
- Quadratic Variation of Potentials and Harmonic Functions
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