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Accueil du site > Séminaires > Probabilités Statistiques et réseaux de neurones > Occupation densities for certain processes related to fractional Brownian motion

Vendredi 11 avril 2008 à 11h00

Occupation densities for certain processes related to fractional Brownian motion

Khalifa Es-Sebaiy (Samos, Université Paris 1)

Résumé : 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.

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