Representation of local times of fractional Brownian motion

Safari Mukeru

Statistics & Probability Letters, 2017, vol. 131, issue C, 1-12

Abstract: In this paper we obtain a simple representation of the classical local times of fractional Brownian motion. We explore the properties of the quadratic variation of fractional Brownian motion {X(t):t≥0} of index 0Keywords: Fractional Brownian motion; Local times; Quadratic variations (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1016/j.spl.2017.07.018

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