Local Time-Space Calculus for Reversible Semimartingales

DOI10.1007/978-3-540-71189-6_6MaRDI QIDQ5423749zbMATH OpenOpenAlexFDO

Authors Nathalie Eisenbaum

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_6

zbMATH Keywords

stochastic calculusItô formulas

Mathematics Subject Classification ID

Brownian motion (60J65) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Local time and additive functionals (60J55)

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Cited in

(9)

• Quadratic covariation estimates in non-smooth stochastic calculus
• Time-reversibility and nonvanishing Levy area
• Weak Dirichlet processes with jumps
• Maximum principle for stochastic control of SDEs with measurable drifts
• Stochastic integration with respect to local time of the Brownian sheet and regularising properties of Brownian sheet paths
• Extended Itô calculus for symmetric Markov processes
• Mini-workshop: Local time-space calculus with applications
• SLE local martingales, reversibility and duality
• Some remarks on local time-space calculus

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