An integral representation of the local time of the Brownian motion via the Clark–Ocone formula
Let (LB(t,x),t≥0,x∈R) be the local time of (Bt,t≥0), the real-valued one-dimensional Brownian motion. In this paper, in case of g, a strictly increasing and bijective function, we propose some integral representations of Lg(B)(t,x), of the form: R(t,x)+∫0tK(t,x,Bs)dBs, where R(t,x) is a deterministi...
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| Auteurs principaux: | , , |
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| Format: | Artigo |
| Langue: | Inglês |
| Publié: |
Elsevier
2025-05-01
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| Collection: | Results in Applied Mathematics |
| Sujets: | |
| Accès en ligne: | http://www.sciencedirect.com/science/article/pii/S2590037425000275 |
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