Publication

Holder properties of local times for fractional Brownian motions

Thomas Mountford
2009
Conference Papers

Abstract

We study the local times of fractional Brownian motions for all temporal dimensions, N, spatial dimensions d and Hurst parameters H for which local times exist. We establish a Holder continuity result that is a refinement of Xiao (Probab Th Rel Fields 109:129-157, 1997). Our approach is an adaptation of the more general attack of Xiao (Probab Th Rel Fields 109:129-157, 1997) using ideas of Baraka and Mountford (1997, to appear), the principal result of this latter paper is contained in this article.

Official source

https://infoscience.epfl.ch/entities/publication/550897a7-16a6-424a-9ecf-8af0bfd864b3

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Holder properties of local times for fractional Brownian motions

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