Some identities on semimartingales local times
type: Item
instance of: scholarly article
title: Some identities on semimartingales local times
zbMATH Open document ID: 0962.60070
DOI: 10.1016/S0167-7152(00)00043-2
published in: Statistics \& Probability Letters
publication date: 2001-06-13T00:00:00Z
review text: This paper is composed mostly of remarks and small generalizations of the Lemmata 1 and 2 of \textit{M. Émery} and \textit{M. Yor's} paper [in: Séminaire de probabilités XXXII. Lect. Notes Math. 1686, 306-312 (1998; Zbl 0949.60088)]. Moreover, in Section 2, in generalizing an earlier result of \textit{Y. Ouknine} [in: Séminaire de probabilités XXIV. Lect. Notes Math. 1426, 477-479 (1990; Zbl 0703.60070)], a new comparison theorem for local times of semimartingales is given.
reviewed by: Rainer Buckdahn
Mathematics Subject Classification ID: 60J55
zbMATH DE Number: 1507147
zbMATH Keywords: local time
zbMATH Keywords: Tanaka's formula
zbMATH Keywords: semimartingale
author: François Coquet
author: Youssef Ouknine
MaRDI profile type: Publication
cites work: Continuous strong Markov processes in dimension one
cites work: Q4213427
cites work: Généralisation d'un lemme de s. nakao et applications
cites work: Triple points: From non-Brownian filtrations to harmonic measures
full work available at URL: s0167-7152(00)00043-2
OpenAlex ID: W2071627550
description: scientific article; zbMATH DE number 1507147