Variation and Rough Path Properties of Local Times of Lévy Processes

Details Variation and Rough Path Properties of Local Times of Lévy Processes Variation and Rough Path Properties of Local Times of Lévy Processes

2008-11-13

arxiv.org/abs/0811.2179v2

Mathematics

Probability

Scientific paper

In this paper, we will prove that the local time of a L\'evy process is of finite $p$-variation in the space variable in the classical sense, a.s. for any $p>2$, $t\geq 0$, if the L\'evy measure satisfies $\int_{R\setminus \{0\}}(|y|^{3\over 2}\wedge 1)n(dy)<\infty$, and is a rough path of roughness $p$ a.s. for any $2

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