Semimartingale decomposition of convex functions of continuous semimartingales by Brownian perturbation

DOI10.1051/PS/2011146zbMath1321.60087arXiv0907.0382OpenAlexW2101777517MaRDI QIDQ5408473

Nastasiya F. Grinberg

Publication date: 10 April 2014

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0907.0382

zbMATH Keywords

semimartingalesconvex functionsItō's lemmaBrownian perturbation

Mathematics Subject Classification ID

Brownian motion (60J65) Generalizations of martingales (60G48) Stochastic integrals (60H05) Local time and additive functionals (60J55)

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