Rough path properties for local time of symmetric $\alpha$ stable process
Probability
2017-10-09 v1
Abstract
In this paper, we first prove that the local time associated with symmetric -stable processes is of bounded -variation for any partly based on Barlow's estimation of the modulus of the local time of such processes.\,\,The fact that the local time is of bounded -variation for any enables us to define the integral of the local time as a Young integral for less smooth functions being of bounded -varition with . When , Young's integration theory is no longer applicable. However, rough path theory is useful in this case. The main purpose of this paper is to establish a rough path theory for the integration with respect to the local times of symmetric -stable processes for .
Cite
@article{arxiv.1703.02782,
title = {Rough path properties for local time of symmetric $\alpha$ stable process},
author = {Qingfeng Wang and Huaizhong Zhao},
journal= {arXiv preprint arXiv:1703.02782},
year = {2017}
}