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

Xavier Bardina, Carles Rovira

Research output: Contribution to journalArticleResearchpeer-review

Abstract

We show an Itô's formula for nondegenerate Brownian martingales X t = ∫ to dW s , and functions F(x, t) with locally integrable derivatives in t and x. We prove that one can express the additional term in Itô's s formula as an integral over space and time with respect to local time.
Original languageEnglish
Pages (from-to)187-208
JournalPublicacions Matematiques
Volume54
DOIs
Publication statusPublished - 1 Jan 2010

Keywords

  • Integration wrt local time
  • Itô's formula
  • Local time
  • Martingales

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