English

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 p,qp,q-variation theory introduced in \cite{Feng-Zhao}) to establish integration of determinate functions with respect to local time of symmetric α\alpha-stable L\'evy process, for α]1,2]\alpha \in ]1,2], 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This paper has been withdrawn by the author due to the incomplete presentation