Local time and Tanaka formula for a Volterra-type multifractional Gaussian process

DOI10.3150/10-BEJ261zbMath1213.60075arXiv1011.6139OpenAlexW2164158481MaRDI QIDQ627303

Renaud Marty, Brahim Boufoussi, Marco E. Dozzi

Publication date: 28 February 2011

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1011.6139

zbMATH Keywords

Gaussian processeslocal timeTanaka formulalocal nondeterminismmultifractional processes

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Local time and additive functionals (60J55)

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