A generalized occupation time formula for continuous semimartingales

DOI10.1556/SSCMATH.2009.1112MaRDI QIDQ3076885zbMATH OpenFDO

Authors Raouf Ghomrasni

Publication date 25 February 2011

Published in Studia Scientiarum Mathematicarum Hungarica (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0612699

zbMATH Keywords

local timeoccupation time formulacontinuous semimartingale

Mathematics Subject Classification ID

Brownian motion (60J65) Stochastic integrals (60H05)

Abstract: We show that for a wide class of functions $F$ that: ${\displaystyle }$ {lim_{epsilon downarrow 0} {frac{1}{epsilon}} int_0^t Big{F(s, X_s) - F(s, X_s - epsilon)Big} d�ig<X,X�ig>_s} = - int_0^tint_{R} F(s, x) d L_s^x ${\displaystyle }$ where $X_t$ is a continuous semi-martingale, $(L_t^x,xinR,tgeq0)$ its local time process and $$ its quadratic variation process.

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