A Note on a Change of Variable Formula with Local Time-Space for Lévy Processes of Bounded Variation

Kyprianou, Andreas E.; Surya, Budhi A.

doi:10.1007/978-3-540-71189-6_3

Andreas E. Kyprianou⁸ &
Budhi A. Surya⁹

Part of the book series: Lecture Notes in Mathematics ((SEMPROBAB,volume 1899))

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We establish a mild variant of the change of variable formula with local time-space for “ripped” functions and Lévy processes of bounded variation.

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Mathematical Institute, Utrecht University, 80.01, TA 3508, Utrecht, The Netherlands
Andreas E. Kyprianou
School of Mathematics, Heriot Watt University, EH14 4AS, Scotland, UK
Budhi A. Surya

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Andreas E. Kyprianou
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Budhi A. Surya
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Université Pierre et Marie Curie Boîte courrier 188, 4, place Jussieu, 75252, Paris cedex 05, France
Catherine Donati-Martin
Université Louis Pasteur, 7, rue René Descartes, 67084, Strasbourg cedex, France
Michel Émery
Université Versailles-Saint-Quentin, 45, avenue des Etats-Unis, 78035, Versailles cedex, France
Alain Rouault
Université de Besançon, 16, route de Gray, 25030, Besançon cedex, France
Christophe Stricker

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Kyprianou, A.E., Surya, B.A. (2007). A Note on a Change of Variable Formula with Local Time-Space for Lévy Processes of Bounded Variation. 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_3

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DOI: https://doi.org/10.1007/978-3-540-71189-6_3
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-71188-9
Online ISBN: 978-3-540-71189-6
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