Generalized Itǒ Formulae and Space-Time Lebesgue–Stieltjes Integrals of Local Times

DOI10.1007/978-3-540-71189-6_5zbMATH Open1126.60044arXivmath/0505195OpenAlexW1896028034MaRDI QIDQ5423748FDOQ5423748

Authors: Huaizhong Zhao, K. D. Elworthy, Aubrey Truman 

Publication date: 31 October 2007

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

Abstract: Generalised Ito formulae are proved for time dependent functions of continuous real valued semi-martingales. The conditions involve left space and time first derivatives, with the left space derivative required to have locally bounded 2-dimensional variation. In particular a class of functions with discontinuous first derivative is included. An estimate of Krylov allows further weakening of these conditions when the semi-martingale is a diffusion.

Full work available at URL: https://arxiv.org/abs/math/0505195

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zbMATH Keywords

continuous semi-martingaletwo-dimensional Lebesgue-Stieltjes integral

Mathematics Subject Classification ID

Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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