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arXiv · 1011.6139

Local time and Tanaka formula for a Volterra-type multifractional Gaussian process

Brahim Boufoussi·Marco Dozzi·Renaud Marty
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Abstract

The stochastic calculus for Gaussian processes is applied to obtain a Tanaka formula for a Volterra-type multifractional Gaussian process. The existence and regularity properties of the local time of this process are obtained by means of Berman's Fourier analytic approach.

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Brahim Boufoussi, Marco Dozzi, Renaud Marty. 2010-11-29. Local time and Tanaka formula for a Volterra-type multifractional Gaussian process. https://doi.org/10.3150/10-bej261

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