The local time of the Markov processes of Ornstein-Uhlenbeck type

被引：0

作者：

Tong, Changqing ^{[1
]}

Lin, Zhengyan ^{[2
]}

Zheng, Jing ^{[1
]}

机构：

[1] Hangzhou Dianzi Univ, Inst Appl Math, Hangzhou 310018, Peoples R China

[2] Zhejiang Univ, Dept Math, Hangzhou 310027, Peoples R China

来源：

STATISTICS & PROBABILITY LETTERS | 2012年 / 82卷 / 07期

关键词：

Local time; Markov process of Ornstein-Uhlenbeck type; Levy process; GAUSSIAN PROCESSES; DRIVEN;

D O I：

10.1016/j.spl.2012.03.003

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We prove the existence of the local time of the Ornstein-Uhlenbeck type process X = {X-t, t is an element of R+} driven by a general Levy process. The conditions of the continuity in time variable t and the regularity property of the local time are given, under mild regularity conditions on the driving Levy process. These results give information about the local properties of sample functions of the process. (C) 2012 Elsevier B.V. All rights reserved.

引用

页码：1229 / 1234

页数：6

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