Quasi sure analysis of local times of anticipating smooth semimartingales
文献类型：期刊论文
| 作者 | Cao, Guilan; He, Kai2 ; Liang, Zongxia
|
| 刊名 | BULLETIN DES SCIENCES MATHEMATIQUES
 |
| 出版日期 | 2007-12-01 |
| 卷号 | 131期号:8页码:697-715 |
| 关键词 | Sobolev space anticipating smooth semimartingales generalized local time quadratic variation quasi sure convergence (alpha, p)-modification |
| ISSN号 | 0007-4497 |
| DOI | 10.1016/j.bulsci.2006.03.012 |
| 英文摘要 | 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. |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000251932500001 |
| 出版者 | GAUTHIER-VILLARS/EDITIONS ELSEVIER |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/4904]  |
| 专题 | 应用数学研究所 |
| 通讯作者 | Cao, Guilan |
| 作者单位 | 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 |
| 推荐引用方式 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. |
入库方式： OAI收割
来源：数学与系统科学研究院
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