Integration par parties dans l'espace de Wiener et approximation du temps local. (Integration by parts in the Wiener space and approximation of local time)

DOI10.1007/BF01321135zbMath0727.60052MaRDI QIDQ803644

Mario Wschebor, David Nualart

Publication date: 1991

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

zbMATH Keywords

martingalesdiffusionsWiener spacecontinuous local timestochastic analysis techniques

Mathematics Subject Classification ID

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

Related Items (7)

Approximation of local times of Gaussian surfaces ⋮ Stable Convergence of Certain Functionals of Diffusions Driven by fBm ⋮ Hermite polynomial expansion for non-smooth functionals of stationary Gaussian processes: Crossings and extremes ⋮ On the finiteness of the moments of the measure of level sets of random fields ⋮ Smoothing and occupation measures of stochastic processes ⋮ Approximation of fractional local times: zero energy and derivatives ⋮ Crossings and occupation measures for a class of semimartingales

Cites Work

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• Generalized stochastic integrals and the Malliavin calculus
• Approximation du temps local des processus gaussiens stationnaires par régularisation des trajectoires. (Approximation of local times of stationary Gaussian processes by regularization of trajectories)
• Stochastic calculus with anticipating integrands
• On the Average Number of Crossings of a Level by the Sample Functions of a Stochastic Process
• On the Mean Number of Crossings of a Level by a Stationary Gaussian Process
• On the average number of real roots of a random algebraic equation

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