{
  "id": "0801.3314",
  "version": "v1",
  "published": "2008-01-22T07:09:18.000Z",
  "updated": "2008-01-22T07:09:18.000Z",
  "title": "Occupation densities for certain processes related to fractional Brownian motion",
  "authors": [
    "Khalifa Es-Sebaiy",
    "David Nualart",
    "Youssef Ouknine",
    "Ciprian Tudor"
  ],
  "categories": [
    "math.PR"
  ],
  "abstract": "In this paper we establish the existence of a square integrable occupation density for two classes of stochastic processes. First we consider a Gaussian process with an absolutely continuous random drift, and secondly we handle the case of a (Skorohod) integral with respect to the fractional Brownian motion with Hurst parameter $H>\\frac 12$. The proof of these results uses a general criterion for the existence of a square integrable local time, which is based on the techniques of Malliavin calculus.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2008-01-22T07:09:18.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "fractional brownian motion",
      "square integrable occupation density",
      "square integrable local time",
      "stochastic processes"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2008arXiv0801.3314E"
    }
  }
}