Local time for stable moving average processes: Hölder conditions
The Fourier analytic approach due to S.M. Berman is considered for a certain class of [alpha]-stable moving average processes, 1 < [alpha] <= 2. It is proved that the local times of such processes satisfy a uniform Hölder condition of order Q1 - 1/[alpha] logQ1/[alpha] for small intervals Q. A decomposition of a stable moving average process into a part with jointly continuous local time and a part with smooth sample paths is given and the direct method of evaluation of Berman's integral is compared to the LND method.
Year of publication: |
1997
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Authors: | Dozzi, Marco ; Soltani, A. Reza |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 68.1997, 2, p. 195-207
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Publisher: |
Elsevier |
Keywords: | Local time Stable processes Moving average Holder continuity Local nondeterminism |
Saved in:
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