Article ID Journal Published Year Pages File Type
10527195 Stochastic Processes and their Applications 2014 20 Pages PDF
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 N≥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)
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