کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1156634 | 958851 | 2006 | 22 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Local time–space stochastic calculus for Lévy processes
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
We develop a stochastic calculus on the plane with respect to the local times of a large class of Lévy processes. We can then extend to these Lévy processes an Itô formula that was established previously for Brownian motion. Our method provides also a multidimensional version of the formula. We show that this formula generates many “Itô formulas” that fit various problems. In the special case of a linear Brownian motion, we recover a recently established Itô formula that involves local times on curves. This formula is already used in financial mathematics.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 116, Issue 5, May 2006, Pages 757–778
Journal: Stochastic Processes and their Applications - Volume 116, Issue 5, May 2006, Pages 757–778
نویسندگان
Nathalie Eisenbaum,