Tanaka formula for multidimensional Brownian motions

DOI10.1023/B:JOTP.0000020698.51262.24zbMath1055.60073OpenAlexW2022331322MaRDI QIDQ1827448

Hideaki Uemura

Publication date: 6 August 2004

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/b:jotp.0000020698.51262.24

zbMATH Keywords

Doob-Meyer decompositionMalliavin calculusTanaka formulaNewtonian potentialSkorokhod integralgeneralized Wiener functionalsMeyer-Watanabe spacesmultidimensional Brownian local time

Mathematics Subject Classification ID

Gaussian processes (60G15) Brownian motion (60J65) Stochastic calculus of variations and the Malliavin calculus (60H07) Local time and additive functionals (60J55)

Related Items (4)

MULTIDIMENSIONAL BIFRACTIONAL BROWNIAN MOTION: ITÔ AND TANAKA FORMULAS ⋮ Distributional It\^o's Formula and Regularization of Generalized Wiener Functionals ⋮ On the Weighted Local Time and the Tanaka Formula for the Multidimensional Fractional Brownian Motion ⋮ Sharp adaptive drift estimation for ergodic diffusions: the multivariate case

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