On the local time of sub-fractional Brownian motion (Q617051): Difference between revisions
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English | On the local time of sub-fractional Brownian motion |
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On the local time of sub-fractional Brownian motion (English)
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20 January 2011
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The sub-fractional Brownian motion \(S^{H}=\{S_{t}^{H},t \geq 0\}\) with \(H\in (0,2)\) has been introduced by \textit{T. Bojdecki, L. G. Gorostiza} and \textit{A. Talarczyk} [Electron. Commun. Probab. 12, 161--172 (2007; Zbl 1128.60025)] as an intermediate process between a standard Brownian motion and a fractional Brownian motion. It is a centered Gaussian process with covariance function \[ \text{E}\left[ S_{s}^{H}S_{t}^{H}\right] =s^{H}+t^{H}-\frac{1}{2}\left[ \left( s+t\right) ^{H}-\left| s-t\right| ^{H}\right] . \] For \(H\in (0,1)\), the author proves the existence, the joint continuity and the Hölder regularity of the local time of \(S^{H}\) and establishes Chung's law of iterated logarithm for \(S^{H}\). In obtaining these results, the following decomposition theorem, attributed to \textit{J. Ruiz de Chávez} and \textit{C. Tudor} [Math. Rep., Bucur. 11(61), No.~1, 67--74 (2009; Zbl 1199.60133)], plays a crucial role: \[ S_{t}^{H}\;{\overset {d} =}\;\left( \frac{H}{2\Gamma (1-H)}\right) ^{1/2}X_{t}^{H}+B_{t}^{H}, \] where \(H\in (0,1)\), \(B^{H}\) is a fractional Brownian motion, \( X_{t}^{H}=\int_{0}^{\infty}\left( 1-e^{-\theta t}\right) \theta ^{-(H+1)/2}dW_{\theta}\), and \(W\) is a standard Brownian motion independent of \(B^{H}\).
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sub-fractional Brownian motion
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local time
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local nondeterminism
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Chung's type law of iterated logarithm
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