Integral with respect to the GG-Brownian local time

preprint2012arXivOpen access

Abstract

Let L{\mathscr L} be the local time of GG-Brownian motion BB. In this paper, we prove the existence of the quadratic covariation <f(B),B>t<f(B),B>_{t} and the integral ∫Rf(x)L(dx,t)\int_{\mathbb R}f(x){\mathscr L}(dx,t). Moreover, a sublinear version of the Bouleau-Yor identity ∫Rf(x)L(dx,t)=−<f(B),B>t \int_{\mathbb R}f(x){\mathscr L}(dx,t)=-<f(B),B>_{t} is showed to hold under some suitable conditions. These allow us to write the Itô's formula for C1C^1-functions.

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