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oct 2000 On local times of a symmetric stable process as a doubly indexed process
Nathalie Eisenbaum
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Bernoulli 6(5): 871-886 (oct 2000).

Abstract

We consider the local time process ( L t x,x,t0) of a symmetric stable process X with an index β in (1,2]. We compute the p-variation of L on any rectangle of ×[0,) . Unlike for the p-variation of L with respect to the spatial parameter (studied by Marcus and Rosen), we show here that the Brownian case - when β= 2 - is atypical.

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Nathalie Eisenbaum. "On local times of a symmetric stable process as a doubly indexed process." Bernoulli 6 (5) 871 - 886, oct 2000.

Information

Published: oct 2000
First available in Project Euclid: 6 April 2004

zbMATH: 0966.60046
MathSciNet: MR2002C:60081

Keywords: Itô formula , Local time , p-variation , Symmetric stable process

Rights: Copyright © 2000 Bernoulli Society for Mathematical Statistics and Probability

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Vol.6 • No. 5 • oct 2000
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