In a recent work [4], we have constructed a stochastic calculus over the plane with respect to the local times of Lévy processes; this led to a general Ito formula requiring only the existence of locally bounded first-order derivatives. We extend this construction to reversible semimartingales and show the part that it can play for extended Ito formulas. MSC 2000: 60G44, 60H05, 60J55, 60J65 Key words: Reversible Semimartingale, Stochastic calculus, Local time, Ito formula
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© 2007 Springer-VerlagBerlinHeidelberg
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Eisenbaum, N. (2007). Local Time-Space Calculus for Reversible Semimartingales. In: Donati-Martin, C., Émery, M., Rouault, A., Stricker, C. (eds) Séminaire de Probabilités XL. Lecture Notes in Mathematics, vol 1899. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-71189-6_6
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DOI: https://doi.org/10.1007/978-3-540-71189-6_6
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