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Pathwise Stochastic Calculus with Local Times
- Publication Year :
- 2015
-
Abstract
- We study a notion of local time for a continuous path, defined as a limit of suitable discrete quantities along a general sequence of partitions of the time interval. Our approach subsumes other existing definitions and agrees with the usual (stochastic) local times a.s. for paths of a continuous semimartingale. We establish pathwise version of the It\^o-Tanaka, change of variables and change of time formulae. We provide equivalent conditions for existence of pathwise local time. Finally, we study in detail how the limiting objects, the quadratic variation and the local time, depend on the choice of partitions. In particular, we show that an arbitrary given non-decreasing process can be achieved a.s. by the pathwise quadratic variation of a standard Brownian motion for a suitable sequence of (random) partitions; however, such degenerate behavior is excluded when the partitions are constructed from stopping times.<br />Comment: minor changes
- Subjects :
- Mathematics - Probability
60G17, 60H05
Subjects
Details
- Database :
- arXiv
- Publication Type :
- Report
- Accession number :
- edsarx.1508.05984
- Document Type :
- Working Paper