Tanaka formula for the fractional Brownian motion. (Q1888781): Difference between revisions

Let \(B=\{B(t),\;t\geq 0\}\) be the fractional Brownian motion with the Hurst parameter \(H\in (0,1)\). The local time \(L^a_t\) is defined as the density of the occupation measure \(\Gamma \to 2H\int _0^t1_{\Gamma }(B_s)s^{2H-1}\,ds\). The local time is shown to exist in \(L^2(\Omega )\) and its Wiener chaos expansions are computed. For \(H>1/3\), the analogue of the Tanaka formula \[ | B(t) -a| = | a| +\int _0^t\text{sign}(B(s)-a)\,dB(s) + L^a_t \] is established.