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Local time and related sample paths of filtered white noises

Raby Guerbaz — 2007

Annales mathématiques Blaise Pascal

We study the existence and the regularity of the local time of filtered white noises X = { X ( t ) , t ∈ [ 0 , 1 ] } . We will also give Chung’s form of the law of iterated logarithm for X , this shows that the result on the Hölder regularity, with respect to time, of the local time is sharp.

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