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