On the local times of fractional Ornstein-Uhlenbeck process (Q2433113)
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scientific article; zbMATH DE number 5068047
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| English | On the local times of fractional Ornstein-Uhlenbeck process |
scientific article; zbMATH DE number 5068047 |
Statements
On the local times of fractional Ornstein-Uhlenbeck process (English)
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27 October 2006
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fractional Brownian motion
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fractional Itô integrals
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Itô type formula
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Malliavin derivative
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Lamperti transform
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local times
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0.8846082091331482
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0.8488773703575134
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0.8485762476921082
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0.8086700439453125
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