Local time and Tanaka formula for a Volterra-type multifractional Gaussian process
Statistics Theory
2010-11-30 v1 Statistics Theory
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.
Cite
@article{arxiv.1011.6139,
title = {Local time and Tanaka formula for a Volterra-type multifractional Gaussian process},
author = {Brahim Boufoussi and Marco Dozzi and Renaud Marty},
journal= {arXiv preprint arXiv:1011.6139},
year = {2010}
}
Comments
Published in at http://dx.doi.org/10.3150/10-BEJ261 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)