English

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, BH=(BH(t)(t),tR+)B^H=(B^{H(t)}(t),t\in\mathbb{R}^+). An analogue of Chung's law of the iterated logarithm is studied for BHB^H 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 BHB^H.

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)