Rough path integral of local time

被引：4

作者：

Feng, Chunrong ^{[1
,2
,3
]}

Zhao, Huaizhong ^{[1
]}

机构：

[1] Loughborough Univ Technol, Dept Math Sci, Loughborough LE11 3TU, Leics, England

[2] Shandong Univ, Sch Math & Syst Sci, Jinan 250100, Peoples R China

[3] Shanghai Jiao Tong Univ, Dept Math, Shanghai 200240, Peoples R China

来源：

COMPTES RENDUS MATHEMATIQUE | 2008年 / 346卷 / 7-8期

关键词：

D O I：

10.1016/j.crma.2008.02.015

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

In this Note, for a continuous semimartingale local time L-t(x), we establish the integral integral(infinity)(-infinity) g(x) dL(t)(x) as a rough path integral for any finite q-variation function g (2 <= q < 3) by using Lyons' rough path integration. We therefore obtain the Tanaka-Meyer formula for a continuous function f if del(-) f exists and is of finite q-variation, 2 <= q < 3. The case when 1 <= q < 2 was established by Feng and Zhao [C.R. Feng, H.Z. Zhao, Two-parameter p, q-variation path and integration of local times, Potential Analysis 25 (2006) 165-204] using the Young integral.

引用

页码：431 / 434

页数：4