The local time of the Markov processes of Ornstein–Uhlenbeck type

Changqing Tong, Zhengyan Lin and Jing Zheng

Statistics & Probability Letters, 2012, vol. 82, issue 7, 1229-1234

Abstract: We prove the existence of the local time of the Ornstein–Uhlenbeck type process X={Xt,t∈R+} driven by a general Lévy process. The conditions of the continuity in time variable t and the regularity property of the local time are given, under mild regularity conditions on the driving Lévy process. These results give information about the local properties of sample functions of the process.

Keywords: Local time; Markov process of Ornstein–Uhlenbeck type; Lévy process (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1016/j.spl.2012.03.003

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