Sample path properties of the local time of multifractional Brownian motion
Boufoussi, Brahim ; Dozzi, Marco ; Guerbaz, Raby
Bernoulli, Tome 13 (2007) no. 1, p. 849-867 / Harvested from Project Euclid
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We establish estimates for the local and uniform moduli of continuity of the local time of multifractional Brownian motion, BH=(BH(t)(t), t∈ℝ+). An analogue of Chung’s law of the iterated logarithm is studied for BH and used to obtain the pointwise Hölder exponent of the local time. A kind of local asymptotic self-similarity is proved to be satisfied by the local time of BH.
Publié le : 2007-08-14
Classification:  Chung-type law of iterated logarithm,  local asymptotic self-similarity,  multifractional Brownian motion,  local times 
@article{1186503490,
     author = {Boufoussi, Brahim and Dozzi, Marco and Guerbaz, Raby},
     title = {Sample path properties of the local time of multifractional Brownian motion},
     journal = {Bernoulli},
     volume = {13},
     number = {1},
     year = {2007},
     pages = { 849-867},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1186503490}
}

Boufoussi, Brahim; Dozzi, Marco; Guerbaz, Raby. Sample path properties of the local time of multifractional Brownian motion. Bernoulli, Tome 13 (2007) no. 1, pp.  849-867. http://gdmltest.u-ga.fr/item/1186503490/