Sur Une Integrale Pour Les Processus A $\alpha$-Variation Bornee
Open Access
- 1 October 1989
- journal article
- Published by Institute of Mathematical Statistics in The Annals of Probability
- Vol. 17 (4) , 1521-1535
- https://doi.org/10.1214/aop/1176991171
Abstract
We define $\int^\bullet_0 X_s dY_s$ for $X$ a process locally of bounded $\beta$-variation and $Y$ locally of bounded $\alpha$-variation $(\alpha < 2 \leq \beta \text{and} 1/\alpha + 1/\beta > 1)$ as the limit of the Riemann sums. The properties of this integral lead us to an Ito formula and to the existence of local times for some kinds of Dirichlet processes.
Keywords
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