Inspired by coarea formula in geometric measure theory, an occupation time formula for continuous semimartingales in RNRN is proven. The occupation measure of a semimartingale, for N≥2N≥2, is singular with respect to Lebesgue measure but it has a bounded density “transversal” to a foliation, under proper assumptions. In the particular case of the foliation given locally by the distance function from a manifold, the transversal density is related to a geometric local time of the semimartingale at the manifolds of the foliation.

An occupation time formula for semimartingales in RN

FLANDOLI, FRANCO
2014-01-01

Abstract

Inspired by coarea formula in geometric measure theory, an occupation time formula for continuous semimartingales in RNRN is proven. The occupation measure of a semimartingale, for N≥2N≥2, is singular with respect to Lebesgue measure but it has a bounded density “transversal” to a foliation, under proper assumptions. In the particular case of the foliation given locally by the distance function from a manifold, the transversal density is related to a geometric local time of the semimartingale at the manifolds of the foliation.
2014
A., Bevilacqua; Flandoli, Franco
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11568/761965
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