The point in these stochastic calculus notes has been reached where the theory of stochastic integration is sufficiently well developed to apply in a wide range of situations.

Over the next few posts, I will take a break from further development of the general theory. Instead, I look at certain special processes, applying the calculus developed so far and gaining a few examples to motivate further development of the theory.

About special processes, I was wondering if you were considering devoting some post(s) on Local Times of Semimartingales, which I think is an interesting topic in Stochastic Calculus.

I was planning on writing a couple of posts on this, but not until I have finished the the ‘general theory of semimartingales’. It is an interesting topic, and something that is important to know. It isn’t needed for the development of the other theory in my notes though, so it fits into its own separate section.

Hi,

About special processes, I was wondering if you were considering devoting some post(s) on Local Times of Semimartingales, which I think is an interesting topic in Stochastic Calculus.

Best regards

I was planning on writing a couple of posts on this, but not until I have finished the the ‘general theory of semimartingales’. It is an interesting topic, and something that is important to know. It isn’t needed for the development of the other theory in my notes though, so it fits into its own separate section.

Great

I’m looking forward to read those.

Best Regards