Some identities on semimartingales local times

Using a new inequality on semimartingale local time, we give a new light and slight generalizations to some results by Emery and Yor (Lecture Notes in Mathematics 1681, Springer, Berlin, pp. 306-312) in terms of local times of functionals of semimartingales.

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Year of publication:	2000
Authors:	Coquet, F. ; Ouknine, Y.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 49.2000, 2, p. 149-153
Publisher:	Elsevier
Subject:	Local time Semimartingale Tanaka's formula

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005223846