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

DOI10.5565/PUBLMAT_54110_11zbMATH Open1187.60042arXiv0803.3522OpenAlexW2130802482MaRDI QIDQ845062FDOQ845062

Authors: Xavier Bardina, Carles Rovira 

Publication date: 5 February 2010

Published in: Publicacions Matemàtiques (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/0803.3522

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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)

Cites Work

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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
• Ito's Integrated Formula for Strict Local Martingales with Jumps
• Title not available (Why is that?)
• Martingale decomposition of an \(L^2\) space with nonlinear stochastic integrals
• Some time change representations of stable integrals, via predictable transformations of local martingales
• Generalization of Itô's formula for smooth nondegenerate martingales.
• Ito's integrated formula for strict local martingales

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