Derivatives of local times for some Gaussian fields II

Minhao Hong and Fangjun Xu

Statistics & Probability Letters, 2021, vol. 172, issue C

Abstract: Given a (2,d)-Gaussian field Z={Z(t,s)=XtH1−X˜sH2,s,t≥0},where XH1 and X˜H2 are independent d-dimensional centered Gaussian processes satisfying certain properties, we will give a necessary condition for existence of derivatives of the local time of Z at x∈Rd, this condition is also sufficient when XH1 and X˜H2 satisfy the local nondeterminism property.

Keywords: Gaussian fields; Derivatives of local time; Necessary condition (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1016/j.spl.2021.109063

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