摘要
本文利用经典的白噪声分析框架研究布朗运动和分数布朗运动混合的局部时.利用白噪声分析方法证明该局部时是一个Hida广义泛函.进一步,借助于S-变换给出了该局部时的混沌表示.本文所获得结果推广了GUO等(2011)获得的分数布朗运动情形下的一些结果.
In this paper, local time of mixed Brownian motion and fractional Brownian motion is studied within the canonical framework of white noise analysis. It is proved that the local time is a Hida distribution through white noise approach. Moreover, the chaos expansion of the local time is given by S-transform. Some results obtained by GUO et al. （2011） for the case of local time of fractional Brownian motion are generalized.
出处
《应用数学》
CSCD
北大核心
2017年第1期138-143,共6页
Mathematica Applicata
基金
Supported by the National Natural Science Foundation of China(71561017)
Science and Technology plan of Gunsu Province(145RJZA033)
Special Funds for Scientific Research of Lanzhou Finance and Economics University
关键词
局部时
布朗运动
分数布朗运动
白噪声分析方法
Local time
Brownian motion
Fractional Brownian motion
White noise approach
