A Generalized Occupation Time Formula For Continuous Semimartingales

Details A Generalized Occupation Time Formula For Continuous Semimartingales A Generalized Occupation Time Formula For Continuous Semimartingales

2006-12-22

arxiv.org/abs/math/0612699v1

Mathematics

Probability

3 pages

Scientific paper

We show that for a wide class of functions $F$ that: $$ {\lim_{\epsilon \downarrow 0} {\frac{1}{\epsilon}} \int_0^t \Big\{F(s, X_s) - F(s, X_s - \epsilon)\Big\} d\big_s} = - \int_0^t\int_{\R} F(s, x) d L_s^x $$ where $X_t$ is a continuous semi-martingale, $(L_t^x, x \in \R, t \geq 0)$ its local time process and $(\big_t, t \geq 0)$ its quadratic variation process.

Affiliated with

Also associated with

No associations

Rating

A Generalized Occupation Time Formula For Continuous Semimartingales does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with A Generalized Occupation Time Formula For Continuous Semimartingales, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and A Generalized Occupation Time Formula For Continuous Semimartingales will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-532043