Bernoulli

  • Bernoulli
  • Volume 16, Number 4 (2010), 1294-1311.

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

Brahim Boufoussi, Marco Dozzi, and Renaud Marty

Full-text: Open access

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.

Article information

Source
Bernoulli, Volume 16, Number 4 (2010), 1294-1311.

Dates
First available in Project Euclid: 18 November 2010

Permanent link to this document
https://projecteuclid.org/euclid.bj/1290092907

Digital Object Identifier
doi:10.3150/10-BEJ261

Mathematical Reviews number (MathSciNet)
MR2759180

Zentralblatt MATH identifier
1213.60075

Keywords
Gaussian processes local nondeterminism local time multifractional processes Tanaka formula

Citation

Boufoussi, Brahim; Dozzi, Marco; Marty, Renaud. Local time and Tanaka formula for a Volterra-type multifractional Gaussian process. Bernoulli 16 (2010), no. 4, 1294--1311. doi:10.3150/10-BEJ261. https://projecteuclid.org/euclid.bj/1290092907


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