Quasi sure analysis of local times of anticipating smooth semimartingales

doi:10.1016/j.bulsci.2006.03.012

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	Quasi sure analysis of local times of anticipating smooth semimartingales
	Cao, Guilan ; He, Kai2 ; Liang, Zongxia
	2007-12-01
Source Publication	BULLETIN DES SCIENCES MATHEMATIQUES
ISSN	0007-4497
Volume	131 Issue:8 Pages:697-715
Abstract	Let X-t = integral(t)(0) f(s)dW(s) + integral(t)(0)gs ds be the anticipating smooth semimartingale and L-t(x) be its generalized local time. In this paper, we give some estimates about the quasi sure property of X-t and its quadratic variation process (X)(t). We also study the fractional smoothness of L-t(x) and prove that the quadratic variation process of L-t(x) can be constructed as the quasi sure limit of the form Sigma Delta(n()L(t)a(n)(i+1) - L(t)a(i)(n))(2), where Delta(n) = (a(i)(n), a(i+1)(n)) is a sequence of subdivisions of vertical bar a, b vertical bar, a(i)(n) = i(b - a)/2(n) + a, i = 0, 1, .... 2(n). (C) 2006 Elsevier Masson SAS. All rights reserved.
Keyword	Sobolev space anticipating smooth semimartingales generalized local time quadratic variation quasi sure convergence (alpha, p)-modification
DOI	10.1016/j.bulsci.2006.03.012
Language	英语
WOS Research Area	Mathematics
WOS Subject	Mathematics, Applied
WOS ID	WOS:000251932500001
Publisher	GAUTHIER-VILLARS/EDITIONS ELSEVIER
Citation statistics
Document Type	期刊论文
Identifier	http://ir.amss.ac.cn/handle/2S8OKBNM/4905
Collection	应用数学研究所
Corresponding Author	Cao, Guilan
Affiliation	1.Tsing Hua Univ, Dept Math Sci, Beijing 100084, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Inst Appl Math, Beijing 100080, Peoples R China
Recommended Citation GB/T 7714	Cao, Guilan,He, Kai,Liang, Zongxia. Quasi sure analysis of local times of anticipating smooth semimartingales[J]. BULLETIN DES SCIENCES MATHEMATIQUES,2007,131(8):697-715.
APA	Cao, Guilan,He, Kai,&Liang, Zongxia.(2007).Quasi sure analysis of local times of anticipating smooth semimartingales.BULLETIN DES SCIENCES MATHEMATIQUES,131(8),697-715.
MLA	Cao, Guilan,et al."Quasi sure analysis of local times of anticipating smooth semimartingales".BULLETIN DES SCIENCES MATHEMATIQUES 131.8(2007):697-715.

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