Generalized Ito's formula and additive functionals of Brownian motion

DOI10.1007/BF00538419zbMath0349.60081WikidataQ29030385 ScholiaQ29030385MaRDI QIDQ4119922

Albert T. Wang

Publication date: 1977

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete (Search for Journal in Brave)

Mathematics Subject Classification ID

Brownian motion (60J65) Probabilistic potential theory (60J45) Local time and additive functionals (60J55)

Related Items (14)

On a generalization of the theorem of p. levy ⋮ A representation of local time for Lipschitz surfaces ⋮ Rough path properties for local time of symmetric \(\alpha\) stable process ⋮ Généralisation d'un lemme de s. nakao et applications ⋮ Volatility in options formulae for general stochastic dynamics ⋮ On martingale transformations of multidimensional Brownian motion ⋮ On solutions of one-dimensional stochastic differential equations without drift ⋮ Distributional It\^o's Formula and Regularization of Generalized Wiener Functionals ⋮ Semimartingales and Markov processes ⋮ Nash equilibrium in nonzero-sum games of optimal stopping for Brownian motion ⋮ Joint continuity and representations of additive functionals of d- dimensional Brownian motion ⋮ Distribution of integral functionals of a Brownian motion process ⋮ On the character of convergence to Brownian local time. I ⋮ Functional equations and martingales

Cites Work

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• Note on continuous additive functional of the 1-dimensional Brownian path
• Quadratic Variation of Potentials and Harmonic Functions

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