Smoothness of Gaussian local times beyond the local nondeterminism

The joint continuity of Gaussian local times is investigated under conditions strictly weaker than the local nondeterminism. Our conditions are given in terms of the interpolation variances only and they cover the class of Gaussian Markov processes. A new order of infinitesimal in the tail probability of the local time at the origin is obtained.

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Year of publication:	2009
Authors:	Boufoussi, Brahim ; Guerbaz, Raby
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 119.2009, 3, p. 1001-1014
Publisher:	Elsevier
Keywords:	Gaussian processes Local nondeterminism Local times

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008873860