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On the local time of sub-fractional Brownian motion

Ibrahima Mendy (2010)

Annales mathématiques Blaise Pascal

S H = { S t H , t 0 } be a sub-fractional Brownian motion with H ( 0 , 1 ) . We establish the existence, the joint continuity and the Hölder regularity of the local time L H of S H . We will also give Chung’s form of the law of iterated logarithm for S H . This results are obtained with the decomposition of the sub-fractional Brownian motion into the sum of fractional Brownian motion plus a stochastic process with absolutely continuous trajectories. This decomposition is given by Ruiz de Chavez and Tudor [10].

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