Local time–space stochastic calculus for Lévy processes

By Nathalie Eisenbaum. 2006

49 citations recorded by the source corpus.

We develop a stochastic calculus on the plane with respect to the local times of a large class of Levy processes. We can then extend to these Levy processes an Ito formula that was established previously for Brownian motion. Our method provides also a multidimensional version of the formula. We show that this formula generates many "Ito formulas" that fit various problems. In the special case of a linear Brownian motion, we recover a recently established Ito formula that involves local times on curves. This formula is already used in financial mathematics.

Subfields: Finance, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/a44f234b4c6a0fb1f58a9b67518d7b9d47b5259e

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Goran Peskir
2. Nathalie Eisenbaum
3. Pavel V. Gapeev
4. Jacques Du Toit

In Mathematical Physics

1. Goran Peskir
2. Pavel V. Gapeev
3. Nathalie Eisenbaum

Citations in the corpus

• A Change-of-Variable Formula with Local Time on Curves (2005, background): “For related results on the local time-space calculus see [1], [5], [3], [2], [8].”