Occupation densities for certain processes related to fractional Brownian motion

Details Occupation densities for certain processes related to fractional Brownian motion Occupation densities for certain processes related to fractional Brownian motion

2008-01-22

arxiv.org/abs/0801.3314v1

Mathematics

Probability

Scientific paper

In this paper we establish the existence of a square integrable occupation density for two classes of stochastic processes. First we consider a Gaussian process with an absolutely continuous random drift, and secondly we handle the case of a (Skorohod) integral with respect to the fractional Brownian motion with Hurst parameter $H>\frac 12$. The proof of these results uses a general criterion for the existence of a square integrable local time, which is based on the techniques of Malliavin calculus.

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