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Generalized Ito formulae and space-time Lebesgue-Stieltjes integrals of local times

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preprint
posted on 25.07.2005, 09:45 authored by K.D. Elworthy, Aubrey Truman, Huaizhong Zhao
Generalised Ito formulae are proved for time dependent functions of continuous real valued semi-martingales.The conditions involve left space and time first derivatives, with the left space derivative required to have locally bounded 2-dimensional variation. In particular a class of functions with discontinuous first derivative is included. An estimate of Krylov allows further weakening of these conditions when the semi-martingale is a diffusion.

History

School

  • Science

Department

  • Mathematical Sciences

Pages

209841 bytes

Publication date

2004

Notes

This is a pre-print.

Language

en