Conjecture on dyadic local time for fractional Brownian motion

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Let BB be fractional Brownian motion with Hurst parameter H∈(0,1)H\in(0,1), and let (πn)(\pi_n) be the dyadic Lebesgue partition generated by BB. Let IknI^n_k and UtU_t denote the dyadic intervals and upcrossing counts from the preceding lemma, with upcrossings of BB. Define

L~tπn(x):=∑k∈Z2−n(1/H−1)Ut(Ikn)1Ikn(x).\widetilde{L}^{\pi_n}_t(x):=\sum_{k\in\mathbb{Z}}2^{-n(1/H-1)}U_t(I^n_k)\mathbf{1}_{I^n_k}(x).

The dyadic local-time conjecture. Almost surely, L~tπn(x)\widetilde{L}^{\pi_n}_t(x) converges uniformly for (t,x)∈[0,T]×R(t,x)\in[0,T]\times\mathbb{R} to

ℓt(x)E[∣B1∣1/H]2,\ell_t(x)\frac{\mathbb{E}[|B_1|^{1/H}]}{2},

where ℓ\ell is the local time of BB, namely the Radon–Nikodym derivative of the occupation measure A↦∫0t1A(B(s)) dsA\mapsto\int_0^t\mathbf{1}_A(B(s))\,\mathrm{d}s with respect to Lebesgue measure. In particular, for every even integer p∈2Np\in2\mathbb{N}, B∈Lqp−1(πn)B\in\mathcal{L}^{p-1}_q(\pi_n) for every q∈(1,∞)q\in(1,\infty). This would identify the higher-order local-time approximation from dyadic upcrossings with the usual occupation local time and imply the stated variation property for fractional Brownian motion; the supplied text gives no resolution status.

References

Primary source

Rama Cont and Nicolas Perkowski, “Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity”, arXiv:1803.09269 (2018).

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