3 citations · 4 across the 2 of their papers we have counts for
2 papers
math.PR2019★ 3 cited
Change of Variables with Local Time on Surfaces for Jump Processes
Daniel Wilson
The `local time on curves' formula of Peskir provides a stochastic change of variables formula for a function whose derivatives may be discontinuous over a time-dependent curve, a…
math.PR2018★ 1 cited
The Local Time-Space Integral and Stochastic Differential Equations
Daniel Wilson
Processes which arise as solutions to stochastic differential equations involving the local time (SDELTs), such as skew Brownian motion, are frequent sources of inspiration in theo…