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

DOI10.5565/PUBLMAT_54110_11zbMath1187.60042arXiv0803.3522OpenAlexW2130802482MaRDI QIDQ845062

Carles Rovira, Xavier Bardina

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

zbMATH Keywords

local timeintegration with respect to local timeItô'formulanondegenerate Gaussian martingale

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• An extension of Itô's formula for elliptic diffusion processes
• Integration with respect to local time
• Itô formula for uniformly elliptic diffusions and Dirichlet processes
• Quadratic covariation and an extension of Itô's formula
• On Itô's formula for elliptic diffusion processes
• The Malliavin Calculus and Related Topics
• MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES
• Quadratic covariation and Itô's formula for smooth nondegenerate martingales
• Estimation of the density of hypoelliptic diffusion processes with application to an extended Itô's formula