Properties of Gaussian local times
Andrey Dorogovtsev, Olga Iziumtseva
TL;DR
This paper investigates the properties and existence conditions of local times for Gaussian integrators, linking their behavior to associated continuous linear operators in the space of square integrable functions.
Contribution
It establishes conditions for the existence of local times for Gaussian integrators and analyzes their properties through the associated operators.
Findings
Conditions for existence of local times are derived.
Properties of local times are characterized via associated operators.
The relationship between Gaussian integrators and their local times is clarified.
Abstract
In the paper we investigate the local times for Gaussian integrators. Every Gaussian integrator can be associated with the continuous linear operator in the space of square integrable functions. We present conditions of existence and study the properties of the local times for integrators in terms of associated operators.
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Taxonomy
TopicsStochastic processes and financial applications · demographic modeling and climate adaptation · Economic theories and models