Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4592146 | Journal of Functional Analysis | 2007 | 21 Pages |
Abstract
In this paper, we study the fractional smoothness of local times of general processes starting from the occupation time formula, and obtain the quasi-sure existence of local times in the sense of the Malliavin calculus. This general result is then applied to the local times of N-parameter d-dimensional Brownian motions, fractional Brownian motions and the self-intersection local time of the 2-dimensional Brownian motion, as well as smooth semimartingales.
Related Topics
Physical Sciences and Engineering
Mathematics
Algebra and Number Theory