Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1156634 | Stochastic Processes and their Applications | 2006 | 22 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Nathalie Eisenbaum,