加权分数布朗运动的一些路径性质

Pub Date : 2014-08-05 DOI:10.1080/17442508.2013.878345
Litan Yan, Zhi Wang, Huiting Jing
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引用次数: 11

摘要

本文考虑指标为a, b()的加权分数布朗运动,并缩小焦点,得到样本路径的一些性质。根据所有s>0的渐近性质,我们考虑了所有t>0的极限所定义的主值型的-强变分,其中极限在每个紧区间上的概率是一致的。我们证明了它是强局部不确定性的,并利用这一性质研究了与交点局部时间的迭代对数的Chung定律。
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Some path properties of weighted-fractional Brownian motion
In this paper we consider the weighted-fractional Brownian motion with indexes a, b () and narrow the focus to obtain some properties of sample paths. Motivated by the asymptotic propertyfor all s>0, we consider the -strong variation of the principal value type defined by the limitwith for all t>0, where the limits are uniform in probability on each compact interval. We show that is strongly locally -non-deterministic with , and by applying this property we study Chung's law of the iterated logarithm for and intersection local time on .
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