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Representation of local times of fractional Brownian motion

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  • Mukeru, Safari

Abstract

In this paper we obtain a simple representation of the classical local times of fractional Brownian motion. We explore the properties of the quadratic variation of fractional Brownian motion {X(t):t≥0} of index 0

Suggested Citation

  • Mukeru, Safari, 2017. "Representation of local times of fractional Brownian motion," Statistics & Probability Letters, Elsevier, vol. 131(C), pages 1-12.
    • Handle: RePEc:eee:stapro:v:131:y:2017:i:c:p:1-12
    DOI: 10.1016/j.spl.2017.07.018
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    References listed on IDEAS

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    1. Coutin, Laure & Nualart, David & Tudor, Ciprian A., 2001. "Tanaka formula for the fractional Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 94(2), pages 301-315, August.
    2. Norros, Ilkka & Saksman, Eero, 2009. "Local independence of fractional Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 119(10), pages 3155-3172, October.
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    Cited by:

    1. Sikora, Grzegorz, 2018. "Statistical test for fractional Brownian motion based on detrending moving average algorithm," Chaos, Solitons & Fractals, Elsevier, vol. 116(C), pages 54-62.

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