Articlediamond2010

On the local time of sub-fractional Brownian motion

22 citations0/0 files storedAnnales mathématiques Blaise Pascal

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Stochastic processes and statistical mechanics Fractional Differential Equations Solutions

Abstract

S H = { S t H , t ≥ 0 } be a sub-fractional Brownian motion with H ∈ ( 0 , 1 ) . We establish the existence, the joint continuity and the Hölder regularity of the local time L H of S H . We will also give Chung’s form of the law of iterated logarithm for S H . This results are obtained with the decomposition of the sub-fractional Brownian motion into the sum of fractional Brownian motion plus a stochastic process with absolutely continuous trajectories. This decomposition is given by Ruiz de Chavez and Tudor [10].

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 22 citations exist upstream.

References

2008A decomposition of the bifractional Brownian motion and some applications 2008Inner product spaces of integrands associated to subfractional Brownian motion 2006On the local time of multifractional Brownian motion

Cited by

2018Least squares estimation for the drift parameters in the sub-fractional Vasicek processes

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.