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Generalized Ito formulae and space-time Lebesgue-Stieltjes integrals of local times
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Elworthy, K. David, Truman, Aubrey and Zhao, Huaizhong (2007) Generalized Ito formulae and space-time Lebesgue-Stieltjes integrals of local times. In: Séminaire de Probabilités XL. Lecture Notes in Mathematics, Volume 1899 . Springer Berlin Heidelberg, pp. 117-136. ISBN 9783540711889
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Official URL: http://dx.doi.org/10.1007/978-3-540-71189-6_5
Abstract
Generalized 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 two-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.
Item Type: | Book Item | ||||
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Subjects: | Q Science > QA Mathematics | ||||
Divisions: | Faculty of Science, Engineering and Medicine > Science > Mathematics | ||||
Series Name: | Lecture Notes in Mathematics | ||||
Publisher: | Springer Berlin Heidelberg | ||||
ISBN: | 9783540711889 | ||||
ISSN: | 0075-8434 | ||||
Book Title: | Séminaire de Probabilités XL | ||||
Official Date: | 2007 | ||||
Dates: |
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Volume: | Volume 1899 | ||||
Number of Pages: | 20 | ||||
Page Range: | pp. 117-136 | ||||
DOI: | 10.1007/978-3-540-71189-6_5 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access |
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