Rough path properties for local time of symmetric α stable process
journal contributionposted on 2017-03-24, 14:56 authored by Qingfeng Wang, Huaizhong Zhao
In this paper, we first prove that the local time associated with symmetric α-stable processes is of bounded p-variation for any View the MathML source partly based on Barlow’s estimation of the modulus of the local time of such processes. The fact that the local time is of bounded p-variation for any View the MathML source enables us to define the integral of the local time View the MathML source as a Young integral for less smooth functions being of bounded q-variation with View the MathML source. When View the MathML source, Young’s integration theory is no longer applicable. However, rough path theory is useful in this case. The main purpose of this paper is to establish a rough path theory for the integration with respect to the local times of symmetric α-stable processes for View the MathML source.
Huaizhong acknowledges the financial support of Royal Society Newton Advanced Fellowship NA150344.
- Mathematical Sciences
Published inStochastic Processes and their Applications
CitationWANG, Q. and ZHAO, H., 2017. Rough path properties for local time of symmetric α stable process. Stochastic Processes and their Applications, 127 (11), pp.3596-3642 .
- AM (Accepted Manuscript)
Publisher statementThis work is made available according to the conditions of the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International (CC BY-NC-ND 4.0) licence. Full details of this licence are available at: https://creativecommons.org/licenses/by-nc-nd/4.0/
NotesThis paper was published in the journal Stochastic Processes and their Applications and the definitive published version is available at https://doi.org/10.1016/j.spa.2017.03.006.