Local time and Tanaka formula for a Volterra-type multifractional Gaussian process
Résumé
The stochastic calculus for Gaussian processes is applied to obtain a Tanaka formula for a Volterra-type multifractional Gaussian process. The existence and the regularity properties of the local time of this process is obtained by means of Berman's Fourier analytic approach.
Domaines
Probabilités [math.PR]
Origine : Fichiers produits par l'(les) auteur(s)
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