Abstract
The stochastic calculus for Gaussian processes is applied to obtain a Tanaka formula for a Volterra-type multifractional Gaussian process. The existence and regularity properties of the local time of this process are obtained by means of Berman’s Fourier analytic approach.
Citation
Brahim Boufoussi. Marco Dozzi. Renaud Marty. "Local time and Tanaka formula for a Volterra-type multifractional Gaussian process." Bernoulli 16 (4) 1294 - 1311, November 2010. https://doi.org/10.3150/10-BEJ261
Information