Revistes Catalanes amb Accés Obert (RACO)

Integration with respect to local time and Itô's formula for smooth nondegenerate martingales

Xavier Bardina i Simorra, C. Rovira


We show an Itˆo’s formula for nondegenerate Brownian martingales Xt =ς t/0 Us dWs and functions F(x, t) with locally integrable derivatives in t and x. We prove that one can express the additional term in Itˆo’s s formula as an integral over space and time with respect to local time.

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