Generalized Ito Formulae and Space-Time Lebesgue-Stieltjes Integrals of Local Times

Details Generalized Ito Formulae and Space-Time Lebesgue-Stieltjes Integrals of Local Times Generalized Ito Formulae and Space-Time Lebesgue-Stieltjes Integrals of Local Times

2005-05-10

arxiv.org/abs/math/0505195v1

Seminaire de Probabilites, Vol.40 (2007), 117-136.

Mathematics

Probability

Scientific paper

Generalised Ito formulae are proved for time dependent functions of continuous real valued semi-martingales.The conditions involve left space and time first derivatives, with the left space derivative required to have locally bounded 2-dimensional variation. In particular a class of functions with discontinuous first derivative is included. An estimate of Krylov allows further weakening of these conditions when the semi-martingale is a diffusion.

Affiliated with

Also associated with

No associations

Rating

Generalized Ito Formulae and Space-Time Lebesgue-Stieltjes Integrals of Local Times 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 Generalized Ito Formulae and Space-Time Lebesgue-Stieltjes Integrals of Local Times, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Generalized Ito Formulae and Space-Time Lebesgue-Stieltjes Integrals of Local Times will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-312991