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August 2007 Sample path properties of the local time of multifractional Brownian motion
Brahim Boufoussi, Marco Dozzi, Raby Guerbaz
Bernoulli 13(3): 849-867 (August 2007). DOI: 10.3150/07-BEJ6140

Abstract

We establish estimates for the local and uniform moduli of continuity of the local time of multifractional Brownian motion, BH=(BH(t)(t), t∈ℝ+). An analogue of Chung’s law of the iterated logarithm is studied for BH and used to obtain the pointwise Hölder exponent of the local time. A kind of local asymptotic self-similarity is proved to be satisfied by the local time of BH.

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Brahim Boufoussi. Marco Dozzi. Raby Guerbaz. "Sample path properties of the local time of multifractional Brownian motion." Bernoulli 13 (3) 849 - 867, August 2007. https://doi.org/10.3150/07-BEJ6140

Information

Published: August 2007
First available in Project Euclid: 7 August 2007

zbMATH: 1138.60032
MathSciNet: MR2348754
Digital Object Identifier: 10.3150/07-BEJ6140

Rights: Copyright © 2007 Bernoulli Society for Mathematical Statistics and Probability

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Vol.13 • No. 3 • August 2007
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