XVI: 15, 209-211, LNM 920 (1982)
BARLOW, Martin T.
$L(B_t,t)$ is not a semimartingale (Brownian motion)
The following question had been open for some time: given a jointly continuous version $L(a,t)$ of the local times of Brownian motion, is $Y_t=L(B_t,t)$ a semimartingale? It is proved here that $Y$ fails to be Hölder continuous of order 1/4, and therefore cannot be a semimartingale
Keywords: Local times, Semimartingales
Nature: Original
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