Skip to main content

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

  • Chapter

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

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

This is a preview of subscription content, access via your institution.

Buying options

Chapter
USD   29.95
Price excludes VAT (Canada)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD   39.99
Price excludes VAT (Canada)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book
USD   54.99
Price excludes VAT (Canada)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Learn about institutional subscriptions

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

Author information

Authors and Affiliations

Authors

Editor information

Editors and Affiliations

Rights and permissions

Reprints and Permissions

Copyright information

© 2007 Springer-VerlagBerlinHeidelberg

About this chapter

Cite this chapter

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

Download citation