Sample path properties of the local time of multifractional Brownian motion
Probability
2009-09-29 v1
Abstract
We establish estimates for the local and uniform moduli of continuity of the local time of multifractional Brownian motion, . An analogue of Chung's law of the iterated logarithm is studied for and used to obtain the pointwise H\"{o}lder exponent of the local time. A kind of local asymptotic self-similarity is proved to be satisfied by the local time of .
Keywords
Cite
@article{arxiv.0709.0637,
title = {Sample path properties of the local time of multifractional Brownian motion},
author = {Brahim Boufoussi and Marco Dozzi and Raby Guerbaz},
journal= {arXiv preprint arXiv:0709.0637},
year = {2009}
}
Comments
Published at http://dx.doi.org/10.3150/07-BEJ6140 in the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)