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Subjects
60-XX Probability theory and stochastic processes
60Gxx Stochastic processes
60G22 Fractional processes, including fractional Brownian motion

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On the exponentials of fractional Ornstein-Uhlenbeck processes.

Matsui, Muneya, Shieh, Narn-Rueih (2009)

Electronic Journal of Probability [electronic only]

On the local time of sub-fractional Brownian motion

Ibrahima Mendy (2010)

Annales mathématiques Blaise Pascal

$S^{H} = {S_{t}^{H}, t \geq 0}$ be a sub-fractional Brownian motion with $H \in (0, 1)$ . 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].

On the small deviation problem for some iterated processes.

Aurzada, Frank, Lifshits, Mikhail (2009)

Electronic Journal of Probability [electronic only]

Currently displaying 1 – 3 of 3

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