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A Law of the Iterated Logarithm for Fractional Brownian Motions

  • Driss Baraka
  • Thomas Mountford
Part of the Lecture Notes in Mathematics book series (LNM, volume 1934)

Abstract

We show that for a class of Gaussian processes indexed by one dimensional time, the local times obey the behavior conjectured by Xiao.

Key words

Local times Gaussian processes fractional Brownian motion Girsanov’s theorem 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2008

Authors and Affiliations

  • Driss Baraka
    • 1
  • Thomas Mountford
    • 1
  1. 1.Département de MathématiquesÉcole Polytechnique FédéraleLausanneSwitzerland

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