Local times and sample path properties of the Rosenblatt process

George Kerchev, Ivan Nourdin, Eero Saksman and Lauri Viitasaari

Stochastic Processes and their Applications, 2021, vol. 131, issue C, 498-522

Abstract: Let Z=(Zt)t≥0 be the Rosenblatt process with Hurst index H∈(1∕2,1). We prove joint continuity for the local time of Z, and establish Hölder conditions for the local time. These results are then used to study the irregularity of the sample paths of Z. Based on analogy with similar known results in the case of fractional Brownian motion, we believe our results are sharp. A main ingredient of our proof is a rather delicate spectral analysis of arbitrary linear combinations of integral operators, which arise from the representation of the Rosenblatt process as an element in the second chaos.

Keywords: Rosenblatt process; Local times; Fourier transform; Hilbert–Schmidt operator (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1016/j.spa.2020.09.018

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