A Note on a Change of Variable Formula with Local Time-Space for Lévy Processes of Bounded Variation

DOI10.1007/978-3-540-71189-6_3zbMATH Open1126.60037OpenAlexW142854530MaRDI QIDQ5423746FDOQ5423746

Authors: A. E. Kyprianou, Budhi A. Surya 

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_3

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Local time and additive functionals (60J55)

Cited In (3)

• Learning to reflect: a unifying approach for data-driven stochastic control strategies
• A change of variable formula with applications to multi-dimensional optimal stopping problems
• Fair valuation of Lévy-type drawdown-drawup contracts with general insured and penalty functions

This page was built for publication: A Note on a Change of Variable Formula with Local Time-Space for Lévy Processes of Bounded Variation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5423746)