Integration with respect to local time and Itô's formula for smooth nondegenerate martingales

DOI10.5565/PUBLMAT_54110_11MaRDI QIDQ845062zbMATH OpenOpenAlexFDO

Authors Xavier Bardina, Carles Rovira

Publication date 5 February 2010

Published in Publicacions Matemàtiques (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0803.3522, https://projecteuclid.org/euclid.pm/1262962140

zbMATH Keywords

local timeintegration with respect to local timenondegenerate Gaussian martingaleItô'formula

Mathematics Subject Classification ID

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

Abstract: We show an It^ o's formula for nondegenerate Brownian martingales $X_t=in{t}_0^t{u}_{s}d{W}_s$ and functions $F(x,t)$ with locally integrable derivatives in $t$ and $x$. We prove that one can express the additional term in It^o's s formula as an integral over space and time with respect to local time.

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Cited in

(9)

• Integration with respect to local time
• Quadratic covariation and Itô's formula for smooth nondegenerate martingales
• DISCRETE-TIME MARTINGALES WITH SPATIAL PARAMETERS
• scientific article; zbMATH DE number 1619450 (Why is no real title available?)
• Ito's Integrated Formula for Strict Local Martingales with Jumps
• Some time change representations of stable integrals, via predictable transformations of local martingales
• Martingale decomposition of an \(L^2\) space with nonlinear stochastic integrals
• Generalization of Itô's formula for smooth nondegenerate martingales.
• Ito's integrated formula for strict local martingales

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