Local times of stochastic differential equations driven by fractional Brownian motions

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:127

Article

Lou, Shuwen¹  Ouyang, Cheng¹ 

[1] Univ Illinois, Dept Math Stat & Comp Sci, Chicago, IL 60607 USA

关键词: Local time;    Fractional Brownian motion;    Stochastic differential equation;   

DOI  :  10.1016/j.spa.2017.03.013

来源: Elsevier

【 摘 要 】

In this paper, we study the existence and (Holder) regularity of local times of stochastic differential equations driven by fractional Brownian motions. In particular, we show that in one dimension and in the rough case H < 1/2, the Holder exponent (in t) of the local time is 1 - H, where H is the Hurst parameter of the driving fractional Brownian motion. (C) 2017 Elsevier B.V. All rights reserved.

【 授权许可】

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