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November 2010 Local time and Tanaka formula for a Volterra-type multifractional Gaussian process
Brahim Boufoussi, Marco Dozzi, Renaud Marty
Bernoulli 16(4): 1294-1311 (November 2010). DOI: 10.3150/10-BEJ261

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.

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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

Published: November 2010
First available in Project Euclid: 18 November 2010

zbMATH: 1213.60075
MathSciNet: MR2759180
Digital Object Identifier: 10.3150/10-BEJ261

Keywords: Gaussian processes , Local nondeterminism , Local time , multifractional processes , Tanaka formula

Rights: Copyright © 2010 Bernoulli Society for Mathematical Statistics and Probability

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Vol.16 • No. 4 • November 2010
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