α-time fractional Brownian motion: PDE connections and local times

DOI10.1051/ps/2011103zbMath1278.60074arXiv0911.0357OpenAlexW2962751320MaRDI QIDQ4921823

Yimin Xiao, Erkan Nane, Dong Sheng Wu

Publication date: 14 May 2013

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0911.0357

zbMATH Keywords

PDEfractional Brownian motionpartial differential equationlocal timeHölder condition\(\alpha\)-time Brownian motionstrictly \(\alpha\)-stable Lévy process\(\alpha\)-time fractional Brownian motion

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Brownian motion (60J65) Special processes (60K99) Sample path properties (60G17)

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