INTERSECTION LOCAL TIME OF SUBFRACTIONAL ORNSTEIN-UHLENBECK PROCESSES

DOI10.15672/HJMS.2014257476zbMath1336.60077OpenAlexW2320865229MaRDI QIDQ5744526

Dongjin Zhu, Xiuwei Yin, Guang Jun Shen

Publication date: 18 February 2016

Published in: Hacettepe Journal of Mathematics and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.15672/hjms.2014257476

zbMATH Keywords

stochastic differential equationintersection local timesubfractional Brownian motionsubfractional Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07) Self-similar stochastic processes (60G18)

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