Pathwise stochastic calculus with local times
Work
Year: 2018
Type: article
Abstract: Nous étudions la notion de temps local pour un processus continu, défini comme la limite de fonctions discrètes le long d'une suite de partitions de l'intervalle de temps. Notre approche englobe les d... more
Authors Mark A. Davis, Jan Obłój, Pietro Siorpaes
Institutions Imperial College London, Mathematical Institute of the Slovak Academy of Sciences, University of Oxford
Cites: 25
Cited by: 30
Related to: 10
FWCI: 5.213
Citation percentile (by year/subfield): 88.43
Subfield: Finance
Domain: Social Sciences
Open Access status: green