On It\^{o}'s formula for symmetric $\alpha $-stable L\'{e}vy process of index $1<\alpha\leq 2 $
Probability
2010-12-07 v2
Abstract
We use Young integration (resp, bounded -variation theory introduced in \cite{Feng-Zhao}) to establish integration of determinate functions with respect to local time of symmetric -stable L\'evy process, for , in one parameter case (resp, in two parameter case). We then apply these integrals to write the corresponding generalized It\^{o} formula. Furthermore, some approximations schemes of the area integral w.r.t local time are given.
Keywords
Cite
@article{arxiv.1003.5367,
title = {On It\^{o}'s formula for symmetric $\alpha $-stable L\'{e}vy process of index $1<\alpha\leq 2 $},
author = {Rachid Belfadli and Youssef Ouknine},
journal= {arXiv preprint arXiv:1003.5367},
year = {2010}
}
Comments
This paper has been withdrawn by the author due to the incomplete presentation