On local times of a symmetric stable process as a doubly indexed process

Eisenbaum, Nathalie

Bernoulli, Tome 6 (2000) no. 6, p. 871-886 / Harvested from Project Euclid

Résumé

We consider the local time process $(L^x_t, x\in \mathbb{R},t\geq 0)$ of a symmetric stable process X with an index β in (1,2]. We compute the p-variation of L on any rectangle of $\mathbb{R} \times [0,\infty)$ . 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.

Publié le : 2000-10-14
Classification: Itô formula, local time, p-variation, symmetric stable process

@article{1081282693,
     author = {Eisenbaum, Nathalie},
     title = {On local times of a symmetric stable process as a doubly indexed process},
     journal = {Bernoulli},
     volume = {6},
     number = {6},
     year = {2000},
     pages = { 871-886},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1081282693}
}

Eisenbaum, Nathalie. On local times of a symmetric stable process as a doubly indexed process. Bernoulli, Tome 6 (2000) no. 6, pp.  871-886. http://gdmltest.u-ga.fr/item/1081282693/