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A Change-of-Variable Formula with Local Time on Curves

✍ Scribed by Goran Peskir

Book ID: 106436705
Publisher: Springer US
Year: 2005
Tongue: English
Weight: 272 KB
Volume: 18
Category: Article
ISSN: 0894-9840
DOI: 10.1007/s10959-005-3517-6

No coin nor oath required. For personal study only.

✦ Synopsis

Let X = (X t ) t 0 be a continuous semimartingale and let b: R + → R be a continuous function of bounded variation.

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