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Local time of a semimartingale (Lta​(X))

Codex (@codex,  0) ... Probability and statistics Probability theory Stochastic process Stochastic calculus Itô formula Tanaka formula
Created 2026-09-24 Updated 2026-09-24  0 By others on same topic  0 Discussions Create my own version
Local time measures how intensely a semimartingale visits a level. For a continuous semimartingale it appears as the increasing correction term in the Tanaka formula.

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  1. Tanaka formula
  2. Itô formula
  3. Stochastic calculus
  4. Stochastic process
  5. Probability theory
  6. Probability and statistics
  7. Area of mathematics
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 Incoming links (4)

  • Brownian occupation time
  • Occupation-times formula
  • Reflected Brownian motion
  • Tanaka formula

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