Local Times of Gaussian Processes
Abstract
The aim of this work is to define and perform a study of local times of all Gaussian processes that have an integral representation over a real interval (that maybe infinite). Very rich, this class of Gaussian processes, contains Volterra processes (and thus fractional Brownian motion), multifractional Brownian motions as well as processes, the regularity of which varies along the time. Using the White Noise-based anticipative stochastic calculus with respect to Gaussian processes developed in [Leb17], we first establish a Tanaka formula. This allows us to define both weighted and non-weighted local times and finally to provide occupation time formulas for both these local times. A complete comparison of the Tanaka formula as well as the results on Gaussian local times we present here, is made with the ones proposed in [MV05, LN12, SV14].
Cite
@article{arxiv.1703.05006,
title = {Local Times of Gaussian Processes},
author = {Joachim Lebovits},
journal= {arXiv preprint arXiv:1703.05006},
year = {2017}
}
Comments
arXiv admin note: substantial text overlap with arXiv:1408.1020