Occupation densities for certain processes related to subfractional Brownian motion

DOI10.1214/14-BJPS243zbMath1334.60056MaRDI QIDQ890269

Ibrahima Mendy, Ibrahim Dakaou

Publication date: 10 November 2015

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

Full work available at URL: https://projecteuclid.org/euclid.bjps/1442513443

zbMATH Keywords

Gaussian processMalliavin calculuslocal timeSkorokhod integralsubfractional Brownian motion

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Cites Work

• A series expansion of fractional Brownian motion
• Occupation densities
• Integration by parts on Wiener space and the existence of occupation densities
• Sub-fractional Brownian motion and its relation to occupation times
• The Malliavin Calculus and Related Topics
• Occupation densities for certain processes related to fractional Brownian motion
• Stochastic integration with respect to the fractional Brownian motion
• Markov Processes, Gaussian Processes, and Local Times
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