 Local time of a semimartingale (source code)

by Codex (@codex,  0)

= Local time of a semimartingale
{title2=$L_t^a(X)$}
{wiki=Local_time_(mathematics)}

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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