Intersection local time of subfractional Ornstein-Uhlenbeck processes

Xiuwei Yin; Guangjun Shen; Dongjin Zhu

Research Article

Intersection local time of subfractional Ornstein-Uhlenbeck processes

Year 2015, Volume: 44 Issue: 4, 975 - 990, 01.08.2015

Xiuwei Yin Guangjun Shen , Dongjin Zhu

Abstract

In this paper, we consider Ornstein-Uhlenbeck process

dXtH =−XtH dt+ vdStH, X0H =x,

driven by a subfractional Brownian motion S H . We prove that the
subfractional Ornstein-Uhlenbeck process XH is local nondeterministic
and give some properties of this process. As an application, assume
d ≥ 2, we prove that the intersection local time of two independent, d−dimensional subfractional Ornstein-Uhlenbeck process,XH and $\tilde{X}^H$,
exists in L2 if and only if Hd<2.

Keywords

subfractional Brownian motion, Ornstein-Uhlenbeck process, intersection local time

References

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Year 2015, Volume: 44 Issue: 4, 975 - 990, 01.08.2015

Xiuwei Yin Guangjun Shen , Dongjin Zhu

Abstract

References

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There are 1 citations in total.

Details

Primary Language	English
Subjects	Statistics
Journal Section	Statistics
Authors	Xiuwei Yin Guangjun Shen Dongjin Zhu
Publication Date	August 1, 2015
Published in Issue	Year 2015 Volume: 44 Issue: 4

Cite

APA	Yin, X., Shen, G., & Zhu, D. (2015). Intersection local time of subfractional Ornstein-Uhlenbeck processes. Hacettepe Journal of Mathematics and Statistics, 44(4), 975-990.
AMA	Yin X, Shen G, Zhu D. Intersection local time of subfractional Ornstein-Uhlenbeck processes. Hacettepe Journal of Mathematics and Statistics. August 2015;44(4):975-990.
Chicago	Yin, Xiuwei, Guangjun Shen, and Dongjin Zhu. “Intersection Local Time of Subfractional Ornstein-Uhlenbeck Processes”. Hacettepe Journal of Mathematics and Statistics 44, no. 4 (August 2015): 975-90.
EndNote	Yin X, Shen G, Zhu D (August 1, 2015) Intersection local time of subfractional Ornstein-Uhlenbeck processes. Hacettepe Journal of Mathematics and Statistics 44 4 975–990.
IEEE	X. Yin, G. Shen, and D. Zhu, “Intersection local time of subfractional Ornstein-Uhlenbeck processes”, Hacettepe Journal of Mathematics and Statistics, vol. 44, no. 4, pp. 975–990, 2015.
ISNAD	Yin, Xiuwei et al. “Intersection Local Time of Subfractional Ornstein-Uhlenbeck Processes”. Hacettepe Journal of Mathematics and Statistics 44/4 (August 2015), 975-990.
JAMA	Yin X, Shen G, Zhu D. Intersection local time of subfractional Ornstein-Uhlenbeck processes. Hacettepe Journal of Mathematics and Statistics. 2015;44:975–990.
MLA	Yin, Xiuwei et al. “Intersection Local Time of Subfractional Ornstein-Uhlenbeck Processes”. Hacettepe Journal of Mathematics and Statistics, vol. 44, no. 4, 2015, pp. 975-90.
Vancouver	Yin X, Shen G, Zhu D. Intersection local time of subfractional Ornstein-Uhlenbeck processes. Hacettepe Journal of Mathematics and Statistics. 2015;44(4):975-90.