Variation and Rough Path Properties of Local Times of Lévy Processes

Chunrong Feng, Huaizhong Zhao

Published 2008-11-13, updated 2009-06-17Version 2

In this paper, we will prove that the local time of a L\'evy process is of finite $p$-variation in the space variable in the classical sense, a.s. for any $p>2$, $t\geq 0$, if the L\'evy measure satisfies $\int_{R\setminus \{0\}}(|y|^{3\over 2}\wedge 1)n(dy)<\infty$, and is a rough path of roughness $p$ a.s. for any $2<p<3$ under a slightly stronger condition for the L\'evy measure. Then for any function $g$ of finite $q$-variation ($1\leq q <3$), we establish the integral $\int_{-\infty}^{\infty}g(x)dL_t^x$ as a Young integral when $1\leq q<2$ and a Lyons' rough path integral when $2\leq q<3$. We therefore apply these path integrals to extend the Tanaka-Meyer formula for a continuous function $f$ if $\nabla ^-f$ exists and is of finite $q$-variation when $1\leq q<3$, for both continuous semi-martingales and a class of L\'evy processes.