The Local Time of the Fractional Ornstein-Uhlenbeck Process. (19th September 2013)

• Record Type: Journal Article
• Authors: Shen, Guangjun; Zhu, Dongjin; Ren, Yong; Ding, Xueping
• Other Names: McKibben Mark Academic Editor.
• Is Part Of: Abstract and applied analysis. Volume 2013(2013)
• Publication Date: 2013-09-19
• Subjects: Mathematical analysis -- Periodicals; Mathematical analysis; Applied Mathematics; Mathematical Analysis; Periodicals; 515.05
• DOI: 10.1155/2013/375480
• Languages: English
• ISSNs: 1085-3375

Abstract

Abstract : We investigate the Hölder regularity of the local time of the fractional Ornstein-Uhlenbeck process X H = { X t H, t ≥ 0 } . As a related problem, we study the collision local time of two independent fractional Ornstein-Uhlenbeck X H i = { X t H i, t ≥ 0 }, i = 1, 2 with respective indices H 1, H 2 ∈ ( 0, 1 ) .