Abstract
With Itô’s formula, we saw how C 2-functions operate on continuous semimartingales. We now extend this to convex functions, thus introducing the important notion of local time.
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© 1999 Springer-Verlag Berlin Heidelberg
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Revuz, D., Yor, M. (1999). Local Times. In: Continuous Martingales and Brownian Motion. Grundlehren der mathematischen Wissenschaften, vol 293. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-06400-9_7
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DOI: https://doi.org/10.1007/978-3-662-06400-9_7
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-08400-3
Online ISBN: 978-3-662-06400-9
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