Brazilian Journal of Probability and Statistics

Occupation densities for certain processes related to subfractional Brownian motion

Ibrahima Mendy and Ibrahim Dakaou

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Abstract

In this paper, we establish the existence of a square integrable occupation density for two classes of stochastic processes. First, we consider a Gaussian process with an absolutely continuous random drift, and second we handle the case of a (Skorohod) integral with respect to subfractional Brownian motion with Hurst parameter $H>\frac{1}{2}$. The proof of these results uses a general criterion for the existence of a square integrable local time, which is based on the techniques of Malliavin calculus.

Article information

Source
Braz. J. Probab. Stat., Volume 29, Number 4 (2015), 733-746.

Dates
Received: April 2013
Accepted: April 2014
First available in Project Euclid: 17 September 2015

Permanent link to this document
https://projecteuclid.org/euclid.bjps/1442513443

Digital Object Identifier
doi:10.1214/14-BJPS243

Mathematical Reviews number (MathSciNet)
MR3397390

Zentralblatt MATH identifier
1334.60056

Keywords
Subfractional Brownian motion Malliavin calculus Skorohod integral local time

Citation

Mendy, Ibrahima; Dakaou, Ibrahim. Occupation densities for certain processes related to subfractional Brownian motion. Braz. J. Probab. Stat. 29 (2015), no. 4, 733--746. doi:10.1214/14-BJPS243. https://projecteuclid.org/euclid.bjps/1442513443


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References

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