Bernoulli

  • Bernoulli
  • Volume 6, Number 5 (2000), 871-886.

On local times of a symmetric stable process as a doubly indexed process

Nathalie Eisenbaum

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Abstract

We consider the local time process ( L t x,x,t0) of a symmetric stable process X with an index β in (1,2]. We compute the p-variation of L on any rectangle of ×[0,) . Unlike for the p-variation of L with respect to the spatial parameter (studied by Marcus and Rosen), we show here that the Brownian case - when β= 2 - is atypical.

Article information

Source
Bernoulli, Volume 6, Number 5 (2000), 871-886.

Dates
First available in Project Euclid: 6 April 2004

Permanent link to this document
https://projecteuclid.org/euclid.bj/1081282693

Mathematical Reviews number (MathSciNet)
MR2002c:60081

Zentralblatt MATH identifier
0966.60046

Keywords
Itô formula local time p-variation symmetric stable process

Citation

Eisenbaum, Nathalie. On local times of a symmetric stable process as a doubly indexed process. Bernoulli 6 (2000), no. 5, 871--886. https://projecteuclid.org/euclid.bj/1081282693


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References

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