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arXiv · 1608.01145

Clark formula for local time for one class of Gaussian processes

Andrey Dorogovtsev·Olga Izyumtseva·Georgii Riabov·Naoufel Salhi
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Abstract

In the article we present chaotic decomposition and analog of the Clark formula for the local time of Gaussian integrators. Since the integral with respect to Gaussian integrator is understood in Skorokhod sense, then there exist more than one Clark representation for the local time. We present different representations and discuss the representation with the minimal L_2-norm.

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Andrey Dorogovtsev, Olga Izyumtseva, Georgii Riabov, Naoufel Salhi. 2016-08-03. Clark formula for local time for one class of Gaussian processes. https://arxiv.org/abs/1608.01145

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