Local time and Tanaka formula for a Volterra-type multifractional Gaussian process

preprint2010arXivOpen access

Abstract

The stochastic calculus for Gaussian processes is applied to obtain a Tanaka formula for a Volterra-type multifractional Gaussian process. The existence and regularity properties of the local time of this process are obtained by means of Berman's Fourier analytic approach.

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