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Some identities on semimartingales local times

Author

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  • Coquet, F.
  • Ouknine, Y.

Abstract

Using a new inequality on semimartingale local time, we give a new light and slight generalizations to some results by Emery and Yor (Lecture Notes in Mathematics 1681, Springer, Berlin, pp. 306-312) in terms of local times of functionals of semimartingales.

Suggested Citation

  • Coquet, F. & Ouknine, Y., 2000. "Some identities on semimartingales local times," Statistics & Probability Letters, Elsevier, vol. 49(2), pages 149-153, August.
    • Handle: RePEc:eee:stapro:v:49:y:2000:i:2:p:149-153
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    Cited by:

    1. Bernard Lapeyre & Marouan Iben Taarit, 2019. "A Forward Equation For Computing Derivatives Exposure," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(03), pages 1-26, May.

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