Local time and Tanaka formula for a Volterra-type multifractional Gaussian process

Brahim Boufoussi (1) , Marco Dozzi (2) , Renaud Marty (2)

1 Faculté des Sciences Semlalia [Marrakech]
2 IECN - Institut Élie Cartan de Nancy

The stochastic calculus for Gaussian processes is applied to obtain a Tanaka formula for a Volterra-type multifractional Gaussian process. The existence and the regularity properties of the local time of this process is obtained by means of Berman's Fourier analytic approach.

Domaines: Probabilités [math.PR]

Brahim Boufoussi, Marco Dozzi, Renaud Marty. Local time and Tanaka formula for a Volterra-type multifractional Gaussian process. Bernoulli, 2010, ⟨10.3150/10-BEJ261⟩. ⟨hal-00389740⟩