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.
Citation
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
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