An optimal Itô formula for Lévy processes

DOI10.1214/ECP.v14-1469zbMath1191.60058MaRDI QIDQ1038956

Nathalie Eisenbaum, Alexander Walsh

Publication date: 20 November 2009

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/224848

zbMATH Keywords

stochastic calculuslocal timeLévy processitô formula

Mathematics Subject Classification ID

Brownian motion (60J65) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Local time and additive functionals (60J55)

Related Items (3)

Extended Itô calculus for symmetric Markov processes ⋮ Stochastic integration with respect to additive functionals of zero quadratic variation ⋮ Local time-space calculus for symmetric Lévy processes

This page was built for publication: An optimal Itô formula for Lévy processes