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Local time and Tanaka formula for a Volterra-type multifractional Gaussian process (1011.6139v1)
Published 29 Nov 2010 in math.ST and stat.TH
Abstract: The stochastic calculus for Gaussian processes is applied to obtain a Tanaka formula for a Volterra-type multifractional Gaussian process. The existence and regularity properties of the local time of this process are obtained by means of Berman's Fourier analytic approach.
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