On the local times of fractional Ornstein-Uhlenbeck process
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Publication:2433113
DOI10.1007/S11005-005-0018-6zbMath1102.60035OpenAlexW2062052461MaRDI QIDQ2433113
Publication date: 27 October 2006
Published in: Letters in Mathematical Physics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11005-005-0018-6
fractional Brownian motionlocal timesMalliavin derivativeLamperti transformItô type formulafractional Itô integrals
Related Items (3)
Extinction and strong persistence in the Beddington–DeAngelis predator–prey random model ⋮ The local time of the fractional Ornstein-Uhlenbeck process ⋮ The fBm-driven Ornstein-Uhlenbeck process: Probability density function and anomalous diffusion
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