Sample path properties of the local time of multifractional Brownian motion

DOI10.3150/07-BEJ6140zbMath1138.60032arXiv0709.0637OpenAlexW1998778778MaRDI QIDQ2469655

Raby Guerbaz, Brahim Boufoussi, Marco E. Dozzi

Publication date: 6 February 2008

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0709.0637

zbMATH Keywords

local timesmultifractional Brownian motionlocal asymptotic self-similarityChung-type law of iterated logarithm

Mathematics Subject Classification ID

Gaussian processes (60G15) Sample path properties (60G17) Local time and additive functionals (60J55)

Related Items (15)

Stochastic 2-microlocal analysis ⋮ Hitting probabilities and fractal dimensions of multiparameter multifractional Brownian motion ⋮ Multifractional Hermite processes: definition and first properties ⋮ Multiparameter multifractional Brownian motion: local nondeterminism and joint continuity of the local times ⋮ 2-microlocal analysis of martingales and stochastic integrals ⋮ Self-intersection local times for multifractional Brownian motion in higher dimensions: A white noise approach ⋮ The zero set of fractional Brownian motion is a Salem set ⋮ Some sample path properties of multifractional Brownian motion ⋮ The local time of the fractional Ornstein-Uhlenbeck process ⋮ Inverse local times of fractional Brownian motion ⋮ Local times of multifractional Brownian sheets ⋮ Smoothness of Gaussian local times beyond the local nondeterminism ⋮ Occupation time problem for multifractional Brownian motion ⋮ On moduli of continuity for local times of fractional stable processes ⋮ Harnack inequalities for functional SDEs driven by subordinate multifractional Brownian motion

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