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A Generalized Occupation Time Formula For Continuous Semimartingales

Probability 2007-05-23 v1

Abstract

We show that for a wide class of functions FF that: limϵ01ϵ0t{F(s,Xs)F(s,Xsϵ)}d<X,X>s=0tRF(s,x)dLsx {\lim_{\epsilon \downarrow 0} {\frac{1}{\epsilon}} \int_0^t \Big\{F(s, X_s) - F(s, X_s - \epsilon)\Big\} d\big<X,X\big>_s} = - \int_0^t\int_{\R} F(s, x) d L_s^x where XtX_t is a continuous semi-martingale, (Ltx,xR,t0)(L_t^x, x \in \R, t \geq 0) its local time process and (<X,X>t,t0)(\big<X,X\big>_t, t \geq 0) its quadratic variation process.

Keywords

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}
}

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3 pages