Integration with respect to local time and Ito's formula for smooth nondegenerate martingales
Bardina i Simorra, Xavier, Rovira Escofet, Carles
We show an It o's formula for nondegenerate Brownian martingales Xt = R t 0 us dWs and functions F(x, t) with locally integrable derivatives in t and x. We prove that one can express the additional term in It o's s formula as an integral over space and time with respect to local time.
Repository: Recercat: Dipósit de la Recerca de Catalunya