Local time and Tanaka formula for a Volterra-type multifractional Gaussian process
arXiv:1011.6139 · doi:10.3150/10-BEJ261
Abstract
The stochastic calculus for Gaussian processes is applied to obtain a Tanaka formula for a Volterra-type multifractional Gaussian process. The existence and regularity properties of the local time of this process are obtained by means of Berman's Fourier analytic approach.
Published in at http://dx.doi.org/10.3150/10-BEJ261 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)