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The Local Time of the Fractional Ornstein‐Uhlenbeck Process

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Listed:
  • Guangjun Shen
  • Dongjin Zhu
  • Yong Ren
  • Xueping Ding

Abstract

We investigate the Hölder regularity of the local time of the fractional Ornstein‐Uhlenbeck process XH={XtH,t≥0}. As a related problem, we study the collision local time of two independent fractional Ornstein‐Uhlenbeck XHi={XtHi,t≥0}, i = 1, 2 with respective indices H1, H2 ∈ (0, 1).

Suggested Citation

  • Guangjun Shen & Dongjin Zhu & Yong Ren & Xueping Ding, 2013. "The Local Time of the Fractional Ornstein‐Uhlenbeck Process," Abstract and Applied Analysis, John Wiley & Sons, vol. 2013(1).
    • Handle: RePEc:wly:jnlaaa:v:2013:y:2013:i:1:n:375480
    DOI: 10.1155/2013/375480
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    References listed on IDEAS

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    1. Yueyun Hu, 1999. "Hausdorff and Packing Measures of the Level Sets of Iterated Brownian Motion," Journal of Theoretical Probability, Springer, vol. 12(2), pages 313-346, April.
    2. Yimin Xiao, 1998. "Local Times and Related Properties of Multidimensional Iterated Brownian Motion," Journal of Theoretical Probability, Springer, vol. 11(2), pages 383-408, April.
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