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November 2015 Occupation densities for certain processes related to subfractional Brownian motion
Ibrahima Mendy, Ibrahim Dakaou
Braz. J. Probab. Stat. 29(4): 733-746 (November 2015). DOI: 10.1214/14-BJPS243

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.

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Ibrahima Mendy. Ibrahim Dakaou. "Occupation densities for certain processes related to subfractional Brownian motion." Braz. J. Probab. Stat. 29 (4) 733 - 746, November 2015. https://doi.org/10.1214/14-BJPS243

Information

Received: 1 April 2013; Accepted: 1 April 2014; Published: November 2015
First available in Project Euclid: 17 September 2015

zbMATH: 1334.60056
MathSciNet: MR3397390
Digital Object Identifier: 10.1214/14-BJPS243

Rights: Copyright © 2015 Brazilian Statistical Association

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Vol.29 • No. 4 • November 2015
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