Occupation densities for certain processes related to fractional Brownian motion

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dc.creatorEs-Sebaiy, Khalifa
dc.creatorNualart, David
dc.creatorOuknine, Youssef
dc.creatorTudor, Ciprian
dc.date2008-01-22
dc.date.accessioned2026-07-07T08:55:47Z
dc.date.available2026-07-07T08:55:47Z
dc.descriptionIn this paper we establish the existence of a square integrable occupation density for two classes of stochastic processes. First we consider a Gaussian process with an absolutely continuous random drift, and secondly we handle the case of a (Skorohod) integral with respect to the fractional Brownian motion with Hurst parameter $H>\frac 12$. The proof of these results uses a general criterion for the existence of a square integrable local time, which is based on the techniques of Malliavin calculus.
dc.identifierhttps://arxiv.org/abs/0801.3314
dc.identifierhttp://arxiv.org/abs/0801.3314
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/146388
dc.subjectProbability
dc.titleOccupation densities for certain processes related to fractional Brownian motion
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