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Local times of stochastic differential equations driven by fractional Brownian motions
Authors:Shuwen Lou  Cheng Ouyang
Affiliation:Department of Mathematics, Statistics and Computer Science, University of Illinois at Chicago, Chicago, IL 60607, United States
Abstract:In this paper, we study the existence and (Hölder) 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 Hölder exponent (in t) of the local time is 1?H, where H is the Hurst parameter of the driving fractional Brownian motion.
Keywords:Local time  Fractional Brownian motion  Stochastic differential equation
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