Rough path properties for local time of symmetric stable process

DOI10.1016/J.SPA.2017.03.006MaRDI QIDQ2408997zbMATH OpenOpenAlexFDO

Authors Qingfeng Wang, Huaizhong Zhao

Publication date 10 October 2017

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1703.02782, http://eprints.nottingham.ac.uk/52003/

zbMATH Keywords

\(\alpha\)-stable processes\(p\)-variationItô's formulalocal timerough pathYoung integral

Mathematics Subject Classification ID

Sample path properties (60G17) Stable stochastic processes (60G52) Local time and additive functionals (60J55)

Abstract: In this paper, we first prove that the local time associated with symmetric $alpha$-stable processes is of bounded $p$-variation for any $p>frac2alpha-1$ partly based on Barlow's estimation of the modulus of the local time of such processes.,,The fact that the local time is of bounded $p$-variation for any $p>frac2alpha-1$ enables us to define the integral of the local time $in{t}_{-infty}^{infty}riangledow{n}_{-}^{alpha-1}f(x)d_x{L}_t^x$ as a Young integral for less smooth functions being of bounded $q$-varition with $1leqq<frac23-alpha$. When $qgeqfrac23-alpha$, Young's integration theory is no longer applicable. However, rough path theory is useful in this case. The main purpose of this paper is to establish a rough path theory for the integration with respect to the local times of symmetric $alpha$-stable processes for $frac23-alphaleqq<4$.

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Cited in

(3)

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