相关论文: Local time and Tanaka formula of $G$-martingales

In this paper, we study the notion of local time and Tanaka formula for the G-Brownian motion. Moreover, the joint continuity of the local time of the G-Brownian motion is obtained and its quadratic variation is proven. As an application,…

Starting from the potential theoretic definition of the local times of a Markov process - when these exist - we obtain a Tanaka formula for the local times of symmetric L\'{e}vy processes. The most interesting case is that of the symmetric…

These notes contains an introduction to the theory of Brownian and diffusion local time, as well as its relations to the Tanaka Formula, the extended Ito-Tanaka formula for convex functions, the running maximum process, and the theory of…

We study a continuous pathwise local time of order p for continuous functions with finite p-th variation along a sequence of time partitions, for even integers p >= 2. With this notion, we establish a Tanaka-type change of variable formula,…

The apparent times and positions of moving clocks as predicted by both `non-local' and `local' Lorentz Transformations are considered. Only local transformations respect translational invariance. Such transformations change temporal but not…

Three concepts of local times for deterministic c{\`a}dl{\`a}g paths are developed and the corresponding pathwise Tanaka--Meyer formulae are provided. For semimartingales, it is shown that their sample paths a.s. satisfy all three pathwise…

In this paper we generalize a representation formula for the local time of a function of a semimartingale due to Coquet and Ouknine \cite{Ouknine} , our formula being a pointwise equality between two processes we show in addition that the…

The stochastic calculus for Gaussian processes is applied to obtain a Tanaka formula for a Volterra-type multifractional Gaussian process. The existence and regularity properties of the local time of this process are obtained by means of…

Processes which arise as solutions to stochastic differential equations involving the local time (SDELTs), such as skew Brownian motion, are frequent sources of inspiration in theory and applications. Existence and uniqueness results for…

Generalised Ito formulae are proved for time dependent functions of continuous real valued semi-martingales. The conditions involve left space and time first derivatives, with the left space derivative required to have locally bounded…

We study a notion of local time for a continuous path, defined as a limit of suitable discrete quantities along a general sequence of partitions of the time interval. Our approach subsumes other existing definitions and agrees with the…

Using the balayage formula, we prove an inequality between the measures associated to local times of semimartingales. Our result extends the "comparison theorem of local times" of Ouknine $(1988)$, which is useful in the study of stochastic…

We construct superprocesses with dependent spatial motion (SDSMs) in Euclidean spaces $R^d$ with $d\ge1$ and show that,even when they start at some unbounded initial positive Radon measure such as Lebesgue measure on $R^d$, their local…

For symmetric L\'evy processes, if the local times exist, the Tanaka formula has already constructed via the techniques in the potential theory by Salminen and Yor (2007). In this paper, we study the Tanaka formula for arbitrary strictly…

A generalized It${\hat {\rm o}}$ formula for time dependent functions of two-dimensional continuous semi-martingales is proved. The formula uses the local time of each coordinate process of the semi-martingale, left space and time first…

In this paper we aim at presenting a concise but also comprehensive study of time-dependent (tdependent) Hamiltonian dynamics on a locally conformal symplectic (lcs) manifold. We present a generalized geometric theory of canonical…

In the present paper, Ito formula and Tanaka formula for a special kind of symmetric random walk in the complex plain are studied. The random walk is called Parisian walk, and its local time is defined to be the number of exit from some…

We consider the behaviour of the distribution for stationary solutions of the complex Ginzburg-Landau equation perturbed by a random force. It was proved earlier that if the random force is proportional to the square root of the viscosity,…

Let $ \left(X_{t} \right)_{t\geq 0} $ be a continuous semimartingale. Let $ L^{z}_{t}\left(X\right) $ its family of local times. In \cite{YOR} Yor showed that the family $ \left( L^{z}_{t}\left(X\right) \right)_{ z \in \mathbb{R}, t \geq 0}…

Using a Tanaka representation of the local time for a class of superprocesses with dependent spatial motion, as well as sharp estimates from the theory of uniformly parabolic partial differential equations, the joint H\"older continuity in…