Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10527195 | Stochastic Processes and their Applications | 2014 | 20 Pages |
Abstract
Inspired by coarea formula in geometric measure theory, an occupation time formula for continuous semimartingales in RN is proven. The occupation measure of a semimartingale, for Nâ¥2, is singular with respect to Lebesgue measure but it has a bounded density “transversal” to a foliation, under proper assumptions. In the particular case of the foliation given locally by the distance function from a manifold, the transversal density is related to a geometric local time of the semimartingale at the manifolds of the foliation.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
A. Bevilacqua, F. Flandoli,