Some identities on semimartingales local times

DOI10.1016/S0167-7152(00)00043-2zbMath0962.60070OpenAlexW2071627550MaRDI QIDQ1579852

François Coquet, Youssef Ouknine

Publication date: 13 June 2001

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(00)00043-2

zbMATH Keywords

local timesemimartingaleTanaka's formula

Mathematics Subject Classification ID

Local time and additive functionals (60J55)

Related Items (3)

Balayage formula, local time and applications in stochastic differential equations ⋮ A FORWARD EQUATION FOR COMPUTING DERIVATIVES EXPOSURE ⋮ Decomposition of Order Statistics of Semimartingales Using Local Times

Cites Work

• Triple points: From non-Brownian filtrations to harmonic measures
• Continuous strong Markov processes in dimension one
• Généralisation d'un lemme de s. nakao et applications
• Unnamed Item

This page was built for publication: Some identities on semimartingales local times