Local time is a semi-martingale

DOI10.1007/BF01957098zbMath0468.60070MaRDI QIDQ3921932

Edwin A. Perkins

Publication date: 1982

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

zbMATH Keywords

local timesemi-martingalecanonical decomposition of local time

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Local time and additive functionals (60J55)

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Stochastic differential equation for Brox diffusion, Self-intersections of 1-dimensional random walks, Central limit theorem for the Edwards model, An Extension of Ito’s Differentiation Formula, Some Brownian functionals and their laws, Quasi sure quadratic variation of local times of smooth semimartingales., The \(\frac{4}{3}\)-variation of the derivative of the self-intersection Brownian local time and related processes, Quasi sure analysis of local times of anticipating smooth semimartingales, Unnamed Item, Quadratic variation of the local time of a random walk, The SDE solved by local times of a Brownian excursion or bridge derived from the height profile of a random tree or forest, 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)

Cites Work

• Sojourn times of diffusion processes
• Downcrossings and local time
• [https://portal.mardi4nfdi.de/wiki/Publication:4148755 L�vy's downcrossing theorem]
• Quasi-Martingales
• Random Walks and A Sojourn Density Process of Brownian Motion
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