Smoothness of Gaussian local times beyond the local nondeterminism

Brahim Boufoussi and Raby Guerbaz

Stochastic Processes and their Applications, 2009, vol. 119, issue 3, 1001-1014

Abstract: The joint continuity of Gaussian local times is investigated under conditions strictly weaker than the local nondeterminism. Our conditions are given in terms of the interpolation variances only and they cover the class of Gaussian Markov processes. A new order of infinitesimal in the tail probability of the local time at the origin is obtained.

Keywords: Gaussian; processes; Local; nondeterminism; Local; times (search for similar items in EconPapers)
Date: 2009
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