scientific article; zbMATH DE number 4188932

MaRDI QIDQ5753322zbMATH OpenFDO

Authors B. Rajeev

Publication date 1989

zbMATH Keywords

local times for semimartingalesprobabilistic Taylor's formularelationship between local times and crossings

Mathematics Subject Classification ID

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

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• Crossings and occupation measures for a class of semimartingales
• Fractional Brownian motion satisfies two-way crossing
• Brownian crossings via regeneration times
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• Stochastic model for barrier crossings and fluctuations in local timescale
• Explicit semimartingale representation of Brownian motion in a wedge

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