Holder properties of local times for fractional Brownian motions

We study the local times of fractional Brownian motions for all temporal dimensions, N, spatial dimensions d and Hurst parameters H for which local times exist. We establish a Holder continuity result that is a refinement of Xiao (Probab Th Rel Fields 109:129-157, 1997). Our approach is an adaptation of the more general attack of Xiao (Probab Th Rel Fields 109:129-157, 1997) using ideas of Baraka and Mountford (1997, to appear), the principal result of this latter paper is contained in this article.


Published in:
Metrika, 69, 125-152
Presented at:
8th German Open Conference on Probability and Statistics, Aachen, GERMANY, Mar, 2008
Year:
2009
Keywords:
Laboratories:




 Record created 2010-11-30, last modified 2018-03-18


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