Local times of continuous N-parameter strong martingales

Peter Imkeller

Journal of Multivariate Analysis, 1986, vol. 19, issue 2, 348-365

Abstract: 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 scaled by the N-fold product of the Stieltjes measure defined by the quadratic variation of M and its kth derivatives in space, where k

Keywords: multi-parameter; martingales; local; times; Tanaka's; formula (search for similar items in EconPapers)
Date: 1986
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