The local time of the fractional Ornstein-Uhlenbeck process (Q2015425)
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scientific article; zbMATH DE number 6306705
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| English | The local time of the fractional Ornstein-Uhlenbeck process |
scientific article; zbMATH DE number 6306705 |
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The local time of the fractional Ornstein-Uhlenbeck process (English)
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23 June 2014
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Summary: We investigate the Hölder regularity of the local time of the fractional Ornstein-Uhlenbeck process \(X^H=\{X^H_t, t\geq 0\}\). As a related problem, we study the collision local time of two independent fractional Ornstein-Uhlenbeck processes \(X^{H_i}=\{X_t^{H_i}, t\geq 0\}\), \(i=1,2\), with respective indices \(H_1,H_2\in (0,1)\).
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