Local times of stochastic differential equations driven by fractional Brownian motions
Shuwen Lou and
Cheng Ouyang
Stochastic Processes and their Applications, 2017, vol. 127, issue 11, 3643-3660
Abstract:
In this paper, we study the existence and (Hölder) regularity of local times of stochastic differential equations driven by fractional Brownian motions. In particular, we show that in one dimension and in the rough case H<1/2, the Hölder exponent (in t) of the local time is 1−H, where H is the Hurst parameter of the driving fractional Brownian motion.
Keywords: Local time; Fractional Brownian motion; Stochastic differential equation (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:127:y:2017:i:11:p:3643-3660
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DOI: 10.1016/j.spa.2017.03.013
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