The stochastic calculus for Gaussian processes is applied to obtain a Tanaka formula for a Volterra-type multifractional Gaussian process. The existence and regularity properties of the local time of this process are obtained by means of Berman’s Fourier analytic approach.
Publié le : 2010-11-15
Classification:
Gaussian processes,
local nondeterminism,
local time,
multifractional processes,
Tanaka formula
@article{1290092907,
author = {Boufoussi, Brahim and Dozzi, Marco and Marty, Renaud},
title = {Local time and Tanaka formula for a Volterra-type multifractional Gaussian process},
journal = {Bernoulli},
volume = {16},
number = {1},
year = {2010},
pages = { 1294-1311},
language = {en},
url = {http://dml.mathdoc.fr/item/1290092907}
}
Boufoussi, Brahim; Dozzi, Marco; Marty, Renaud. Local time and Tanaka formula for a Volterra-type multifractional Gaussian process. Bernoulli, Tome 16 (2010) no. 1, pp. 1294-1311. http://gdmltest.u-ga.fr/item/1290092907/