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math.PR2022★ 2 cited
On the existence and regularity of local times
Tommi Sottinen, Ercan Sönmez, Lauri Viitasaari
We study the existence and regularity of local times for general -dimensional stochastic processes. We give a general condition for their existence and regularity properties. To…
math.PR2022
On sharp rate of convergence for discretisation of integrals driven by fractional Brownian motions and related processes with discontinuous integrands
Ehsan Azmoodeh, Pauliina Ilmonen, Nourhan Shafik +2
We consider equidistant approximations of stochastic integrals driven by Hölder continuous Gaussian processes of order with discontinuous integrands involving bounded v…