Local time rough path for Lévy processes

DOI10.1214/EJP.V15-770zbMATH Open1227.60071arXiv0811.2179MaRDI QIDQ638286FDOQ638286

Authors: Chunrong Feng, Huaizhong Zhao 

Publication date: 9 September 2011

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Abstract: In this paper, we will prove that the local time of a L'evy process is of finite $p$-variation in the space variable in the classical sense, a.s. for any $p>2$, $tgeq0$, if the L'evy measure satisfies $in{t}_{Rsetminus0}(|y{|}^{3over2}wedge1)n(dy)<infty$, and is a rough path of roughness $p$ a.s. for any $2<p<3$ under a slightly stronger condition for the L'evy measure. Then for any function $g$ of finite $q$-variation ($1leqq<3$), we establish the integral $in{t}_{-infty}^{infty}g(x)d{L}_t^x$ as a Young integral when $1leqq<2$ and a Lyons' rough path integral when $2leqq<3$. We therefore apply these path integrals to extend the Tanaka-Meyer formula for a continuous function $f$ if $abl{a}^{-}f$ exists and is of finite $q$-variation when $1leqq<3$, for both continuous semi-martingales and a class of L'evy processes.

Full work available at URL: https://arxiv.org/abs/0811.2179

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zbMATH Keywords

Young integralgeometric rough pathrough path integralsemimartingale local timeLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic integrals (60H05) Local time and additive functionals (60J55)

Cited In (12)

• Derivative for self-intersection local time of multidimensional fractional Brownian motion
• Path decomposition of a spectrally negative L\'evy process, and local time of a diffusion in this environment
• Temporal variation for fractional heat equations with additive white noise
• General rough integration, Lévy rough paths and a Lévy-Kintchine-type formula
• The generalized quadratic covariation for fractional Brownian motion with Hurst index less than \(1/2\)
• Rough path analysis for local time of \(G\)-Brownian motion
• Integration with respect to the \(G\)-Brownian local time
• The quadratic covariation for a weighted fractional Brownian motion
• Rough path properties for local time of symmetric \(\alpha\) stable process
• Rough path integral of local time
• Local time-space stochastic calculus for Lévy processes
• Derivative for the intersection local time of two independent fractional Brownian motions

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