A Note on a Change of Variable Formula with Local Time-Space for Lévy Processes of Bounded Variation

DOI10.1007/978-3-540-71189-6_3zbMath1126.60037OpenAlexW142854530MaRDI QIDQ5423746

Andreas E. Kyprianou, Budhi A. Surya

Publication date: 31 October 2007

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-71189-6_3

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Local time and additive functionals (60J55)

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A change of variable formula with applications to multi-dimensional optimal stopping problems ⋮ Fair valuation of Lévy-type drawdown-drawup contracts with general insured and penalty functions

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