A Change-of-Variable Formula with Local Time on Surfaces

DOI10.1007/978-3-540-71189-6_2MaRDI QIDQ5423745zbMATHOpenAlexFDO

Authors Goran Peskir

Publication date 31 October 2007

Published in Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-540-71189-6_2

zbMATH Keywords

Brownian motionSigned measureTanaka's formulaWeak convergenceDiffusionOptimal stoppingSemimartingaleSurfaceLocal timeCurveItô's formulaLocal time-space calculusFree-boundary problems

Mathematics Subject Classification ID

Diffusion processes (60J60) Brownian motion (60J65) Free boundary problems for PDEs (35R35) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Local time and additive functionals (60J55)

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