Local time and Tanaka formula for a Volterra-type multifractional Gaussian process

Details Local time and Tanaka formula for a Volterra-type multifractional Gaussian process Local time and Tanaka formula for a Volterra-type multifractional Gaussian process

2010-11-29

arxiv.org/abs/1011.6139v1

Bernoulli 2010, Vol. 16, No. 4, 1294-1311

Mathematics

Statistics Theory

Published in at http://dx.doi.org/10.3150/10-BEJ261 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statisti

Scientific paper

10.3150/10-BEJ261

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.

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