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

DOI10.1007/978-3-540-71189-6_5MaRDI QIDQ5423748zbMATH OpenOpenAlexFDO

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

Publication date 31 October 2007

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

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

zbMATH Keywords

continuous semi-martingaletwo-dimensional Lebesgue-Stieltjes integral

Mathematics Subject Classification ID

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

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.

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