Integration with respect to fractional local times with Hurst index $H$ greater than 1/2

Details Integration with respect to fractional local times with Hurst index $H$ greater than 1/2 Integration with respect to fractional local times with Hurst index $H$ greater than 1/2

2008-03-26

arxiv.org/abs/0803.3665v2

Mathematics

Probability

21 pages

Scientific paper

Let ${\mathscr L}^H(x,t)=2H\int_0^t\delta(B^H_s-x)s^{2H-1}ds$ be the weighted local time of fractional Brownian motion $B^H$ with Hurst index $1/2

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