Local time for processes indexed by a partially ordered set

B. Gail Ivanoff and P. Sawyer

Statistics & Probability Letters, 2003, vol. 61, issue 1, 1-15

Abstract: Local time with respect to an arbitrary random measure is defined for a process indexed by a partially ordered set (poset). When the parameter space is a product of posets and local times exist for the projections of the process in one direction, then under very general conditions it is shown that local time exists for the original process. This general theorem is shown to include many known results for multidimensional martingales and as well can be applied to martingales indexed by sets.

Keywords: Local; time; Occupation; time; formula; Partially; ordered; set; Martingale (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (1)

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