Clark formula for local time for one class of Gaussian processes

2016/08/03 by Andrey Dorogovtsev, Olga Izyumtseva, Dorogovtsev, Andrey +5
Mathematics · #FOS: Mathematics #Probability (math.PR) #math.PR

paper · pdf · doi:10.48550/arxiv.1608.01145

arxiv created 2016/08/03 · arxiv updated 2016/08/04

Abstract

In the article we present chaotic decomposition and analog of the Clark formula for the local time of Gaussian integrators. Since the integral with respect to Gaussian integrator is understood in Skorokhod sense, then there exist more than one Clark representation for the local time. We present different representations and discuss the representation with the minimal L₂-norm.

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