A change-of-variable formula with local time on curves
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Publication:2576790
DOI10.1007/s10959-005-3517-6zbMath1085.60033OpenAlexW4247206600MaRDI QIDQ2576790
Publication date: 14 December 2005
Published in: Journal of Theoretical Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10959-005-3517-6
diffusionoptimal stoppingBrownian motioncontinuous semimartingalestochastic integralfree-boundary problemsTanaka's formulaItô's fomula
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