Article ID Journal Published Year Pages File Type
4669154 Bulletin des Sciences Mathématiques 2013 31 Pages PDF
Abstract

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) [19], which is useful in the study of stochastic differential equations. The inequality presented in this paper covers the discontinuous case. Moreover, we study the pathwise uniqueness of some stochastic differential equations involving local time of unknown process.

Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)