Two-parameter p, q-variation Paths and Integrations of Local Times

In this paper, we prove two main results. The first one is to give a new condition for the existence of two-parameter -variation path integrals. Our condition of locally bounded -variation is more natural and easy to verify than those of Young. This result can be easily generalized to multi-parameter case. The second result is to define the integral of local time pathwise and then give generalized It’s formula when is only of bounded -variation in . In the case that is of locally bounded variation in , the integral is the Lebesgue–Stieltjes integral and was used by Elworthy, Truman and Zhao. When is of only locally -variation, where , , and , the integral is a two-parameter Young integral of -variation rather than a Lebesgue–Stieltjes integral. In the special case that is independent of , we give a new condition for Meyer's formula and is defined pathwise as a Young integral. For this we prove the local time is of -variation in for each , for each almost surely (-variation in the sense of Lyons and Young, i.e. ).