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Title: Generalized Ito formulae and space-time Lebesgue-Stieltjes integrals of local times
Authors: Elworthy, K.D.
Truman, Aubrey
Zhao, Huaizhong
Keywords: Local time
Continuous semi-martingale
Generalised Ito formula
Two-dimensional Lebusgue-Stieltjes integral
Issue Date: 2004
Abstract: 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.
Description: This is a pre-print.
URI: https://dspace.lboro.ac.uk/2134/254
Appears in Collections:Pre-prints (Maths)

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