Remarks on an integral functional driven by sub-fractional Brownian motion
This paper studies the functionals \[ A_{1}(t,x)=\int_{0}^{t}1_{\left[ 0,\infty \right) }\left( x-S_{s}^{H}\right) ds, \] \[ A_{2}(t,x)=\int_{0}^{t}1_{\left[ 0,\infty \right) }\left( x-S_{s}^{H}\right) s^{2H-1}ds, \] where \(\left( S_{s}^{H}\right) _{0\leq s\leq T}\) is a one-dimension sub-fractional Brownian motion with index \(H\in (0,1)\). It shows that there exists a constant \(p_{H}\in (1,2)\) such that \(p\)-variation of the process \( A_{j}(t,S_{t}^{H})-\int_{0}^{t}\mathcal{L}_{j}\left( s,S_{s}^{H}\right) dS_{s}^{H}\) \((j=1,2)\) is equal to \(0\) if \(p>p_{H}\), where \(\text{Laplace} _{j},j=1,2\), are the local time and weighted local time of \(S_{H}\), respectively. This extends the classical results for Brownian motion.
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