摘要
<正> Let (X_t) be a semimartingale. We denote by (L_t~α(X)) the local time at a of (X_t). If f is the difference of two convex functions on R, it is well known that f(X) is a semimartingale. The purpose of this note is to give the change of variables formula for the local times of semimartingales, that is, a formula expressing the local times of f(X) in terms of {L_t~α(X),α∈R}.
基金
Project supported by the National Natural Science Foundation of China
