Thesis-2007-Feng.pdf (2.18 MB)
Variation of local time and new extensions to Ito's formula
thesis
posted on 2018-11-08, 15:54 authored by Chunrong FengIn this doctoral thesis, first we prove the continuous semimartingale local time Lt is of
bounded p-variation in the space variable in the classical sense for any p > 2 a.s., and
based on this fact we define the integral of local time in the sense of Young integral, and
in the sense of Lyons' rough path integral, so that we obtain the new extensions to Tanaka–Meyer's
formula for more classes of f. We also give new conditions to two-parameter Young
integral and extend Elworthy–Truman–Zhao's formula. In the final part we define a new
integral, i.e. stochastic Lebesgue–Stieltjes integral and extend Tanaka–Meyer's formula to
two dimensions.
Funding
Loughborough University, Development Fund.
History
School
- Science
Department
- Mathematical Sciences
Publisher
© Chunrong FengPublisher statement
This work is made available according to the conditions of the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International (CC BY-NC-ND 4.0) licence. Full details of this licence are available at: https://creativecommons.org/licenses/by-nc-nd/4.0/Publication date
2007Notes
A Doctoral Thesis. Submitted in partial fulfilment of the requirements for the award of the degree of Doctor of Philosophy at Loughborough University.Language
- en