Occupation densities for certain processes related to fractional Brownian motion

DOI10.1080/17442500903045531zbMath1203.60041arXiv0801.3314OpenAlexW2170911635MaRDI QIDQ3585326

Khalifa Es-Sebaiy, Youssef Ouknine, David Nualart, Ciprian A. Tudor

Publication date: 19 August 2010

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0801.3314

zbMATH Keywords

Malliavin calculuslocal timesSkorohod integral(bi)fractional Brownian motion

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) General second-order stochastic processes (60G12) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (2)

Occupation densities for certain processes related to subfractional Brownian motion ⋮ On the existence and the Hölder regularity of the local time of the Brownian bridge

Cites Work

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• Occupation densities
• Integration by parts on Wiener space and the existence of occupation densities
• Sample path properties of bifractional Brownian motion
• Wiener integrals, Malliavin calculus and covariance measure structure
• The Malliavin Calculus and Related Topics
• MULTIDIMENSIONAL BIFRACTIONAL BROWNIAN MOTION: ITÔ AND TANAKA FORMULAS
• Stochastic integration with respect to the fractional Brownian motion
• Markov Processes, Gaussian Processes, and Local Times
• Inequalities for the moments of Wiener integrals with respect to a fractional Brownian motion

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