Tong, Changqing; Lin, Zhengyan; Zheng, Jing - In: Statistics & Probability Letters 82 (2012) 7, pp. 1229-1234
We prove the existence of the local time of the Ornstein–Uhlenbeck type process X={Xt,t∈R+} driven by a general Lévy process. The conditions of the continuity in time variable t and the regularity property of the local time are given, under mild regularity conditions on the driving Lévy...