A Generalized Occupation Time Formula For Continuous Semimartingales
Probability
2007-05-23 v1
Abstract
We show that for a wide class of functions that: where is a continuous semi-martingale, its local time process and its quadratic variation process.
Cite
@article{arxiv.math/0612699,
title = {A Generalized Occupation Time Formula For Continuous Semimartingales},
author = {Raouf Ghomrasni},
journal= {arXiv preprint arXiv:math/0612699},
year = {2007}
}
Comments
3 pages