Local times and Tanaka-Meyer formulae for càdlàg paths
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Publication:2042797
DOI10.1214/21-EJP638zbMath1476.60094arXiv2002.03227OpenAlexW3167052393MaRDI QIDQ2042797
Jan Obłój, Rafał Marcin Łochowski, David J. Prömel, Pietro Siorpaes
Publication date: 21 July 2021
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2002.03227
local timesemimartingalepathwise stochastic integrationcàdlàg pathFöllmer-Itô formulapathwise Tanaka formula
Sample path properties (60G17) Stochastic integrals (60H05) Local time and additive functionals (60J55)
Related Items (2)
BDG inequalities and their applications for model-free continuous price paths with instant enforcement ⋮ Itô-Föllmer calculus in Banach spaces. I: The Itô formula
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