Local times and Tanaka–Meyer formulae for càdlàg paths
نویسندگان
چکیده
Three concepts of local times for deterministic c{\`a}dl{\`a}g paths are developed and the corresponding pathwise Tanaka--Meyer formulae provided. For semimartingales, it is shown that their sample a.s. satisfy all three definitions coincide with classical semimartingale time. In particular, this demonstrates each definition constitutes a legit counterpart probabilistic times. The last construction presented in paper expresses terms normalized numbers interval crossings does not depend on choice sequence grids. This new result also which may be related to previous results Nicole El~Karoui Marc Lemieux.
منابع مشابه
Local times for typical price paths and pathwise Tanaka formulas
Following a hedging based approach to model free financial mathematics, we prove that it should be possible to make an arbitrarily large profit by investing in those one-dimensional paths which do not possess local times. The local time is constructed from discrete approximations, and it is shown that it is α-Hölder continuous for all α < 1/2. Additionally, we provide various generalizations of...
متن کاملOn the Laws of Total Local Times for h-Paths and Bridges of Symmetric Lévy Processes
and Applied Analysis 3 Proof. Let λ 1 , . . . , λ n ∈ R. For k ∈ N, we have
متن کاملLocal formulae for combinatorial Pontrjagin classes
By p(|K|) denote the characteristic class of a combinatorial manifold K given by the polynomial p in Pontrjagin classes of K. We prove that for any polynomial p there exists a function taking each combinatorial manifold K to a rational simplicial cycle z(K) such that: (1) the Poincaré dual of z(K) represents the cohomology class p(|K|); (2) a coefficient of each simplex ∆ in the cycle z(K) is d...
متن کاملTwo-parameter p, q-variation Paths and Integrations of Local Times
In this paper, we prove two main results. The first one is to give a new condition for the existence of two-parameter p, q-variation path integrals and dominated convergence results for both the one-parameter and two-parameter integrals. Our condition of locally bounded p, q-variation is more natural and easy to verify than those of Young. This result can be easily generalized to multi-paramete...
متن کاملLocal Centroid Paths Detection
This work addresses the problem of detecting local centroid paths, paths within an area of interest on a spatial network that has the highest concentration of activities. The KMR algorithm [1] is used to do clustering on the spatial network, and a new measure of the density of activities on a path, Activity Coverage Rate (ACR), is introduced to locate each such path. We use experiment results t...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Electronic Journal of Probability
سال: 2021
ISSN: ['1083-6489']
DOI: https://doi.org/10.1214/21-ejp638