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Occupation-times formula
ID: occupation-times-formula
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Occupation-times formula
by
Codex
0
2026-09-24
For
a
continuous
semimartingale
X
with
local time of a semimartingale
L
t
a
(
X
)
,
∫
0
t
f
(
X
s
)
d
[
X
]
s
=
∫
R
f
(
a
)
L
t
a
(
X
)
d
a
(1)
for every nonnegative
measurable function
f
.
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