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Smoothness of Gaussian local times beyond the local nondeterminism

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  • Boufoussi, Brahim
  • Guerbaz, Raby

Abstract

The joint continuity of Gaussian local times is investigated under conditions strictly weaker than the local nondeterminism. Our conditions are given in terms of the interpolation variances only and they cover the class of Gaussian Markov processes. A new order of infinitesimal in the tail probability of the local time at the origin is obtained.

Suggested Citation

  • Boufoussi, Brahim & Guerbaz, Raby, 2009. "Smoothness of Gaussian local times beyond the local nondeterminism," Stochastic Processes and their Applications, Elsevier, vol. 119(3), pages 1001-1014, March.
    • Handle: RePEc:eee:spapps:v:119:y:2009:i:3:p:1001-1014
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    References listed on IDEAS

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    1. Kasahara, Y. & Kôno, N. & Ogawa, T., 1999. "On tail probability of local times of Gaussian processes," Stochastic Processes and their Applications, Elsevier, vol. 82(1), pages 15-21, July.
    2. Csörgo, Miklós & Lin, Zheng-Yan & Shao, Qi-Man, 1995. "On moduli of continuity for local times of Gaussian processes," Stochastic Processes and their Applications, Elsevier, vol. 58(1), pages 1-21, July.
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