Local times and Tanaka–Meyer formulae for càdlàg paths
Three concepts of local times for deterministic càdlàg paths are developed and the corresponding pathwise Tanaka–Meyer formulae are provided. For semimartingales, it is shown that their sample paths a.s. satisfy all three pathwise definitions of local times and that all coincide with the classical s...
| Main Authors: | , , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Institute of Mathematical Statistics
2021
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