Chaos expansion of local time of fractional Brownian motions
dc.contributor.author | Hu, Yaozhong | |
dc.contributor.author | Oksendal, Bernt | |
dc.date.accessioned | 2005-04-14T17:47:08Z | |
dc.date.available | 2005-04-14T17:47:08Z | |
dc.date.issued | 2002-07 | |
dc.identifier.citation | Hu, YZ; Oksendal, B. Chaos expansion of local time of fractional Brownian motions. STOCHASTIC ANALYSIS AND APPLICATIONS. July 2002. 20(4):815-837 | |
dc.identifier.other | ISI:000177861200007 | |
dc.identifier.uri | http://hdl.handle.net/1808/280 | |
dc.description.abstract | We find the chaos expansion of local time l(T)((H))(x, (.)) of fractional Brownian motion with Hurst coefficient H is an element of (0, 1) at a point x is an element of R-d. As an application we show that when H(0)d < 1 then l(T)((H))(x, (.)) is an element of L-2(mu). Here mu denotes the probability law of B-(H) and H-0 = max {H-1, ..., H-d}. In particular, we show that when d = 1 then l(T)((H))(x, (.)) is an element of L-2(mu) for all H is an element of (0, 1). | |
dc.format.extent | 285468 bytes | |
dc.format.mimetype | application/pdf | |
dc.language.iso | en_US | |
dc.publisher | MARCEL DEKKER INC | |
dc.subject | Fractional brownian motion | |
dc.subject | Chaos expansion | |
dc.subject | Local time | |
dc.subject | Asymptotic behavior | |
dc.title | Chaos expansion of local time of fractional Brownian motions | |
dc.type | Preprint | |
dc.identifier.doi | 10.1081/SAP-120006109 | |
dc.rights.accessrights | openAccess |