English

On local time at time varying curve

Probability 2021-04-29 v3

Abstract

Let (Xt)t0 \left(X_{t} \right)_{t\geq 0} be a continuous semimartingale. Let Ltz(X) L^{z}_{t}\left(X\right) its family of local times. In \cite{YOR} Yor showed that the family (Ltz(X))zR,t0 \left( L^{z}_{t}\left(X\right) \right)_{ z \in \mathbb{R}, t \geq 0} has a version that is continuous in tt, c\`ad-l\`ag in zz. In this paper we extend this result by showing that for a 'regular' family of curves parametrized by zz, the corresponding family of local times has a 'regular' version. This result was used in \cite{BENT} to prove a change of variable formula for continuous semimartingales.

Cite

@article{arxiv.1810.09548,
  title  = {On local time at time varying curve},
  author = {Anass Ben Taleb},
  journal= {arXiv preprint arXiv:1810.09548},
  year   = {2021}
}

Comments

The paper is being updated

R2 v1 2026-06-23T04:49:01.509Z