scientific article; zbMATH DE number 2078181

zbMATH Open1051.60060MaRDI QIDQ4473010FDOQ4473010

Authors: Raouf Ghomrasni, Goran Peskir 

Publication date: 7 July 2004

Title of this publication is not available (Why is that?)

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Mathematics Subject Classification ID

Brownian motion (60J65) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Local time and additive functionals (60J55)

Cited In (24)

• Pathwise solvability of stochastic integral equations with generalized drift and non-smooth dispersion functions
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• Some remarks on local time-space calculus
• Two-parameter \(p,q\)-variation paths and integrations of local times
• Extended Itô calculus for symmetric Markov processes
• Integration with respect to local time and Itô's formula for smooth nondegenerate martingales
• A change of variable formula with applications to multi-dimensional optimal stopping problems
• A convolution formula for the local time of an Itô diffusion reflecting at 0 and a generalized Stroock-Williams equation
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• SDEs with uniform distributions: peacocks, conic martingales and mean reverting uniform diffusions
• Kusuoka-Stroock formula on configuration space and regularities of local times with jumps
• Local Time-Space Calculus for Reversible Semimartingales
• A change-of-variable formula with local time on curves
• On Itô's formula for elliptic diffusion processes
• The functional Meyer–Tanaka formula
• On some asymptotic expansions of skew diffusions
• Generalized Itǒ Formulae and Space-Time Lebesgue–Stieltjes Integrals of Local Times
• Weak Approximation for a Black-Scholes Type Regime Switching Model
• Stochastic integration with respect to additive functionals of zero quadratic variation
• Robust classical-impulse stochastic control problems in an infinite horizon
• Local time-space stochastic calculus for Lévy processes
• Nash equilibrium in nonzero-sum games of optimal stopping for Brownian motion

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