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Occupation densities for certain processes related to fractional Brownian motion| old_uid | 4588 |
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| title | Occupation densities for certain processes related to fractional Brownian motion |
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| start_date | 2008/04/11 |
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| schedule | 11h |
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| online | no |
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| summary | We establish the existence of a square integrable occupation density for two classes of stochastic processes. First we consider a Gaussian process with an absolutely continuous random drift, and secondly we handle the case of a (Skorohod) integral with respect to the fractional Brownian motion with Hurst parameter $H>\frac 12$. The proof of these results uses a general criterion for the existence of a square integrable local time, which is based on the techniques of Malliavin calculus. |
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| responsibles | Carlo, Bardet, Cottrell |
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