An occupation time formula for semimartingales in R^N

DOI10.1016/J.SPA.2014.04.014MaRDI QIDQ404125zbMATH OpenOpenAlexFDO

Authors A. Bevilacqua, Franco Flandoli

Publication date 4 September 2014

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1312.3232

zbMATH Keywords

local timecoarea formulasemimartingalesoccupation time formula

Mathematics Subject Classification ID

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

Abstract: Inspired by coarea formula in geometric measure theory, an occupation time formula for continuous semimartingales in $mathbb{R}^N$ is proven. The occupation measure of a semimartingale, for $Ngeq2$, is singular with respect to Lebesgue measure but it has a bounded density "transversal" to a foliation, under proper assumptions. In the particular case of the foliation given locally by the distance function from a manifold, the transversal density is related to a geometric local time of the semimartingale at the manifolds of the foliation.

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Cited in

(2)

• An occupation time formula for semimartingales in \(\mathbb{R}^N\)
• Variability of paths and differential equations with \(\mathrm{BV}\)-coefficients

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