A Change-of-Variable Formula with Local Time on Curves

By Goran Peskir. 2005

280 citations recorded by the source corpus.

Subfields: Finance, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/ef8af299a76c80bdcea21ee44798c0f691acf0c1

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Citations in the corpus

On time-inconsistent stopping problems and mixed strategy stopping times (2018, unknown): “Use the Itô-Tanaka formula, see e.g. [35] or [36, p. 75], to obtain, for 0 Thus, (cid:1) is ﬁnite.”
ON THE AMERICAN OPTION PROBLEM (2005, methodology): “Then the following change-of-variable formula holds (cf. [ 17 ]):”
Local time–space stochastic calculus for Lévy processes (2006, background): “Itô formula involving local times on curves In the case of a continuous semimartingale Z , Peskir [14] has established an Itô formula for functions that are C2(R × R+) everywhere except on the set {x = b(s)} where b is a continuous curve of bounded variation.”
Global $C^{1}$ regularity of the value function in optimal stopping problems (2018, unknown): “[38] and [39]) and this will be presented in the next section.”
Optimal dividends in the dual model under transaction costs (2013, methodology): “ne should be careful in applying the Itoˆ formula since the value function vc∗ 1,c ∗ 2 may not be smooth enough at c∗ 2 to apply the usual version. When Xof unbounded variation, we use Theorem 3.2 of [17], which shows that the smooth ﬁt principle (which we proved in Lemma 5.1) is enough to kill the ”
The trap of complacency in predicting the maximum. (2007, background): “The key argument in the proof relies upon a local time-space formula (see [15]).”
The Wiener disorder problem with finite horizon (2006, methodology): “By means of the method of proof proposed in [14] and [16], and using the change-of-variable formula from [15], we show that the optimal stopping boundary can be uniquely determined from a nonlinear Volterra integral equation of the second kind.”
CALLABLE PUTS AS COMPOSITE EXOTIC OPTIONS (2007, unknown): “By (12) and the monotonicity of v we have that for every u ∈ [0, t∗]”