Local Time in Parisian Walkways

Abstract

In the present paper, Ito formula and Tanaka formula for a special kind of symmetric random walk in the complex plain are studied. The random walk is called Parisian walk, and its local time is defined to be the number of exit from some regions.

5 pages, 2 figures

References in corpus (1)

• Discrete Itô Formulas and Their Applications to Stochastic Numerics

Cited by in corpus (1)

• A Discrete Itô Calculus Approach to He's Framework for Multi-Factor Discrete Markets