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 language | English |
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Pages (from-to) | 187-208 |
Journal | Publicacions Matematiques |
Volume | 54 |
DOIs | |
Publication status | Published - 1 Jan 2010 |
Keywords
- Integration wrt local time
- Itô's formula
- Local time
- Martingales