A representation theorem for continuous additive functionals of zero quadratic variation

• Autorzy: Wolf J.
• Języki publikacji: EN

Abstrakty

EN

We study continuous additive functionals of zero quadratic variation of strong Markov continuous local martingales by means of stochastic calculus. We show that they admit a representation as a stochastic integral with respect to local time in the sense of Bouleau and Yor.

Słowa kluczowe

EN

additive functional; zero quadratic variation; Markov continuous local martingales

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 1998
• Tom: Vol. 18, Fasc. 2
• Strony: 385--397
• Opis fizyczny: Bibliogr. 26 poz.

Twórcy

autor

Wolf J.

• Friedrich- Schiller-Universität, Fakultät für Mathematik und Informatik, Institut für Stochastik, 07740 Jena, Germany

Bibliografia

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