Generalized Ito formulae and space-time Lebesgue-Stieltjes integrals of local times

Generalised Ito formulae are proved for time dependent functions of continuous real valued semi-martingales.The conditions involve left space and time first derivatives, with the left space derivative required to have locally bounded 2-dimensional variation. In particular a class of functions with d...

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Bibliographic Details

Main Authors:	K.D. Elworthy, Aubrey Truman, Huaizhong Zhao
Format:	Default Preprint
Published:	2004
Subjects:	Other mathematical sciences not elsewhere classified Local time Continuous semi-martingale Generalised Ito formula Two-dimensional Lebusgue-Stieltjes integral Mathematical Sciences not elsewhere classified
Online Access:	https://hdl.handle.net/2134/254
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