Local times of functions of continuous semimartingales

Authors: Youssef Ouknine ^a; Marek Rutkowski ^b

Affiliations:	^a Cadi Ayyad University, Marrakech, Morocco
	^b Politechnika Warszawska, Warszawa, Poland

DOI: 10.1080/07362999508809392

Publication Frequency: 6 issues per year

Published in: journal

Stochastic Analysis and Applications, Volume 13, Issue 2 1995 , pages 211 - 231

Subjects: Statistics & Probability; Stochastic Models & Processes;

Formats available: PDF (English)

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Abstract

The paper provides a review of formulae related to the local times of functions of continuous semimartingales. We present a unified approach to this problem based on the It ocirc

-Tanaka formula and the density of occupation times formula. In the appendix an application to a problem of mathematical finance is given

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Local times of functions of continuous semimartingales

Abstract