Key words: Local time-space calculus, Ito’s formula, Tanaka’s formula, Local time, Curve, Surface, Brownian motion, Diffusion, Semimartingale, Weak convergence, Signed measure, Free-boundary problems, Optimal stopping
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© 2007 Springer-VerlagBerlinHeidelberg
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Peskir, G. (2007). A Change-of-Variable Formula with Local Time on Surfaces. In: Donati-Martin, C., Émery, M., Rouault, A., Stricker, C. (eds) Séminaire de Probabilités XL. Lecture Notes in Mathematics, vol 1899. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-71189-6_2
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DOI: https://doi.org/10.1007/978-3-540-71189-6_2
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