Volterra 高斯过程的局部自交时间和样本路径特性

Olga Izyumtseva, Wasiur R. KhudaBukhsh
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引用次数: 0

摘要

我们研究了形式为$X(t)=\int^t_0K(t,s)d{W(s)}$的沃尔特拉高斯过程,其中$W$是维纳过程,$K$是连续核。在维度一中,我们证明了迭代对数定律,讨论了局部时间的存在,并验证了局部时间与产生过程的核之间的连续依赖关系。此外,我们还证明了平面高斯 Volterra 过程的罗森归一化自交局部时间的存在性。
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Local times of self-intersection and sample path properties of Volterra Gaussian processes
We study a Volterra Gaussian process of the form $X(t)=\int^t_0K(t,s)d{W(s)},$ where $W$ is a Wiener process and $K$ is a continuous kernel. In dimension one, we prove a law of the iterated logarithm, discuss the existence of local times and verify a continuous dependence between the local time and the kernel that generates the process. Furthermore, we prove the existence of the Rosen renormalized self-intersection local times for a planar Gaussian Volterra process.
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