Local Times

  • Daniel Revuz
  • Marc Yor
Part of the Grundlehren der mathematischen Wissenschaften book series (GL, volume 293)

Abstract

With Itô’s formula, we saw how C 2-functions operate on continuous semi-martingales. We now extend this to convex functions, thus introducing the important notion of local time.

Keywords

Brownian Motion Local Time Local Martingale Predictable Process Bessel Process 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 1991

Authors and Affiliations

  • Daniel Revuz
    • 1
  • Marc Yor
    • 2
  1. 1.Département de MathématiquesUniversité de Paris VIIParis Cedex 05France
  2. 2.Laboratoire de ProbabilitésUniversité Pierre et Marie CurieParis Cedex 05France

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