The Local Time of the Fractional Ornstein‐Uhlenbeck Process

Guangjun Shen, Dongjin Zhu, Yong Ren and Xueping Ding

Abstract and Applied Analysis, 2013, vol. 2013, issue 1

Abstract: We investigate the Hölder regularity of the local time of the fractional Ornstein‐Uhlenbeck process XH={XtH,t≥0}. As a related problem, we study the collision local time of two independent fractional Ornstein‐Uhlenbeck XHi={XtHi,t≥0}, i = 1, 2 with respective indices H1, H2 ∈ (0, 1).

Date: 2013
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https://doi.org/10.1155/2013/375480

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Persistent link: https://EconPapers.repec.org/RePEc:wly:jnlaaa:v:2013:y:2013:i:1:n:375480

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