Shuwen Lou, Cheng Ouyang
Published 2016-02-23Version 1
In this paper, we study the existence and (H\"older) regularity of local times of stochastic differential equations driven by fractional Brownian motions. In particular, we show that in one dimension and in the rough case H<1/2, the H\"older exponent (in t) of the local time is 1-H, where H is the Hurst parameter of the driving fractional Brownian motion.
Hölder continuity in the Hurst parameter of functionals of Stochastic Differential Equations driven by fractional Brownian motion
Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion
A CLT for the $L^{2}$ norm of increments of local times of Lévy processes as time goes to infinity
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