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_3MaRDI QIDQ5423746zbMATH OpenOpenAlexFDO

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

(4)

• Fair valuation of Lévy-type drawdown-drawup contracts with general insured and penalty functions
• A change of variable formula with applications to multi-dimensional optimal stopping problems
• Learning to reflect: a unifying approach for data-driven stochastic control strategies
• On the last zero process with an application in corporate bankruptcy

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