A Change-of-Variable Formula with Local Time on Surfaces (Q5423745)
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scientific article; zbMATH DE number 5207265
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Change-of-Variable Formula with Local Time on Surfaces |
scientific article; zbMATH DE number 5207265 |
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A Change-of-Variable Formula with Local Time on Surfaces (English)
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31 October 2007
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Local time-space calculus
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Itô's formula
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Tanaka's formula
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Local time
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Curve
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Surface
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Brownian motion
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Diffusion
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Semimartingale
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Weak convergence
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Signed measure
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Free-boundary problems
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Optimal stopping
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