Titlebook: Séminaire de Probabilités XL; Catherine Donati-Martin,Michel Émery,Christophe St Book 2007 Springer-Verlag Berlin Heidelberg 2007 Maxima.S

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https://doi.org/10.1007/978-3-540-71189-6Maxima; Stochastic Processes; Stochastic calculus; calculus; fractional Brownian motion; local time-space

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Local Time-Space Calculus for Reversible Semimartingalesl 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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A Change-of-Variable Formula with Local Time on SurfacesKey words: Local time-space calculus, Ito’s formula, Tanaka’s formula, Local time, Curve, Surface, Brownian motion, Diffusion, Semimartingale, Weak convergence, Signed measure, Free-boundary problems, Optimal stopping

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