English

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 α\alpha-stable processes is of bounded pp-variation for any p>2α1p>\frac{2}{\alpha-1} 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 pp-variation for any p>2α1p>\frac{2}{\alpha-1} enables us to define the integral of the local time α1f(x)dxLtx\int_{-\infty}^{\infty}\triangledown_-^{\alpha-1}f(x)d_x L_t^x as a Young integral for less smooth functions being of bounded qq-varition with 1q<23α1\leq q<\frac{2}{3-\alpha}. When q23αq\geq \frac{2}{3-\alpha}, Young's integration theory is no longer applicable.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 α\alpha-stable processes for 23αq<4\frac{2}{3-\alpha}\leq q< 4.

Keywords

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}
}
R2 v1 2026-06-22T18:39:33.870Z