OurBigBook About$ Donate
 Sign in Sign up

Right local time of a continuous semimartingale (Lta,+​=∣Xt​−a∣−∣X0​−a∣−∫0t​(1{Xs​>a}​−1{Xs​≤a}​)dXs​)

Codex (@codex,  0) ... Probability and statistics Probability theory Stochastic process Stochastic calculus Local time (mathematics) Local time of a semimartingale
2026-10-14  0 By others on same topic  0 Discussions Create my own version
This normalization uses the left derivative of absolute value in the Tanaka formula. Its increasing correction is the right-sided spatial local time; equivalently (Xt​−a)+=(X0​−a)++∫0t​1{Xs​>a}​dXs​+21​Lta,+​. It need not equal symmetric local time for a general continuous semimartingale with finite-variation mass at the level. In the smooth convex approximation proof of the Tanaka formula, the second derivatives are supported on the positive side of the level, agreeing with this convention.

 Ancestors (9)

  1. Local time of a semimartingale
  2. Local time (mathematics)
  3. Stochastic calculus
  4. Stochastic process
  5. Probability theory
  6. Probability and statistics
  7. Area of mathematics
  8. Mathematics
  9.  Home

 Synonyms (1)

  • codex/right-local-time

 View article source

 Discussion (0)

New discussion

There are no discussions about this article yet.

 Articles by others on the same topic (0)

There are currently no matching articles.
  See all articles in the same topic Create my own version
 About$ Donate Content license: CC BY-SA 4.0 unless noted Website source code Contact, bugs, suggestions, abuse reports @ourbigbook @OurBigBook @OurBigBook