Abstract
In this paper, we first prove that the local time associated with symmetric α-stable processes is of bounded p-variation for any p>[Formula presented] 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 p>[Formula presented] enables us to define the integral of the local time ∫−∞∞▿−α−1f(x)dxLtx as a Young integral for less smooth functions being of bounded q-variation with 1≤q<[Formula presented]. When q≥[Formula presented], Young's integration theory is no longer applicable.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 [Formula presented]≤q<4.
| Original language | English |
|---|---|
| Pages (from-to) | 3596-3642 |
| Number of pages | 47 |
| Journal | Stochastic Processes and their Applications |
| Volume | 127 |
| Issue number | 11 |
| DOIs | |
| Publication status | Published - Nov 2017 |
Keywords
- Itô's formula
- Local time
- Rough path
- Young integral
- p-variation
- α-stable processes
ASJC Scopus subject areas
- Statistics and Probability
- Modelling and Simulation
- Applied Mathematics