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arXiv · 1810.10063

Change of variable formula for local time of continuous semimartingale

Anass Ben Taleb
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Abstract

In this paper we generalize a representation formula for the local time of a function of a semimartingale due to Coquet and Ouknine \cite{Ouknine} , our formula being a pointwise equality between two processes we show in addition that the equality is in fact trajectorial, finally we give an application in mathematical finance.

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Anass Ben Taleb. 2018-10-23. Change of variable formula for local time of continuous semimartingale. https://arxiv.org/abs/1810.10063

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