On local time at time varying curve
Probability
2021-04-29 v3
Abstract
Let be a continuous semimartingale. Let its family of local times. In \cite{YOR} Yor showed that the family has a version that is continuous in , c\`ad-l\`ag in . In this paper we extend this result by showing that for a 'regular' family of curves parametrized by , 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
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