Journal article

Properties Of Trajectories Of A Multifractional Rosenblatt Process

Year:

2011

Published in:

Theory of Probability and Mathematical Statistics

Authors:

Rosenblatt process

multiple stochastic integral

local time

localizability

fractional Brownian motion

A Rosenblatt process and its multifractional counterpart are considered. For a multifractional Rosenblatt process, we investigate the local properties of its trajectories, namely the continuity and localizability. We prove the existence of square integrable local times for both processes.

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