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Local times of continuous N-parameter strong martingales

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  • Imkeller, Peter

Abstract

Let M be a 4N-integrable, real-valued continuous N-parameter strong martingale. By extending Itô-type formulas for M to a function whose 2Nth derivative is Dirac's [delta]-distribution, Tanaka-type formulas for M are obtained. They represent local time of M with respect to occupation time scaled by the N-fold product of the Stieltjes measure defined by the quadratic variation of M and its kth derivatives in space, where k

Suggested Citation

  • Imkeller, Peter, 1986. "Local times of continuous N-parameter strong martingales," Journal of Multivariate Analysis, Elsevier, vol. 19(2), pages 348-365, August.
    • Handle: RePEc:eee:jmvana:v:19:y:1986:i:2:p:348-365
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    Cited by:

    1. Ivanoff, B. Gail & Sawyer, P., 2003. "Local time for processes indexed by a partially ordered set," Statistics & Probability Letters, Elsevier, vol. 61(1), pages 1-15, January.

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