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Let M be a 4N-integrable, real-valued continuous N-parameter strong martingale. By extending Itô-type formulas for M to a function whose 2Nth derivative is Dirac's [delta]-distribution, Tanaka-type formulas for M are obtained. They represent local time of M with respect to occupation time...
Persistent link: https://www.econbiz.de/10005006540
Let M be a square integrable martingale indexed by [0, 1]2 with respect to a filtration which possesses the property of conditional independence. Assume that M has trajectories which are continuous for approach from the right upper quadrant and possess limits for the remaining three. M can have...
Persistent link: https://www.econbiz.de/10005160395