Articlebronze2010

Local time and Tanaka formula for a Volterra-type multifractional Gaussian process

Brahim Boufoussi · Marco Dozzi · Renaud Marty

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

Abstract

The stochastic calculus for Gaussian processes is applied to obtain a Tanaka formula for a Volterra-type multifractional Gaussian process. The existence and regularity properties of the local time of this process are obtained by means of Berman’s Fourier analytic approach.

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2006The Malliavin Calculus and Related Topics 2001Stochastic Calculus with Respect to Gaussian Processes 1997Stable Non-Gaussian Random ProcessesGennady Samorodnitsky and Murad S. Taqqu Chapman and Hall, 1994 1998Identifying the multifractional function of a Gaussian process 2007An Introduction to (Stochastic) Calculus with Respect to Fractional Brownian Motion 2001Tanaka formula for the fractional Brownian motion 2004Real harmonizable multifractional Lévy motions 2005PATH PROPERTIES OF THE LINEAR MULTIFRACTIONAL STABLE MOTION

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