Local time and stochastic area integrals

DOI10.1214/AOP/1176990435zbMath0729.60073OpenAlexW2004952586MaRDI QIDQ806176

L. C. G. Rogers, John B. Walsh

Publication date: 1991

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176990435

zbMATH Keywords

Brownian local timeexcursion filtrationintrinsic local timestochastic area integral

Mathematics Subject Classification ID

Brownian motion (60J65) General theory of stochastic processes (60G07) Stochastic integrals (60H05) Local time and additive functionals (60J55) Foundations of stochastic processes (60G05)

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Derivative of intersection local time of independent symmetric stable motions ⋮ The Derivative of the Intersection Local Time of Brownian Motion Through Wiener Chaos ⋮ The quadratic variation for mixed-fractional Brownian motion ⋮ The generalized quadratic covariation for fractional Brownian motion with Hurst index less than 1/2 ⋮ Derivative for the intersection local time of two independent fractional Brownian motions ⋮ On the Tanaka formula for the derivative of self-intersection local time of fractional Brownian motion ⋮ Boundary traces of shift-invariant diffusions in half-plane ⋮ Remarks on an integral functional driven by sub-fractional Brownian motion ⋮ Ray-Knight theorems related to a stochastic flow ⋮ The generalized Bouleau-Yor identity for a sub-fractional Brownian motion ⋮ The \(\frac{4}{3}\)-variation of the derivative of the self-intersection Brownian local time and related processes ⋮ \(p\)-variation of an integral functional driven by fractional Brownian motion ⋮ Two-parameter \(p,q\)-variation paths and integrations of local times ⋮ Asymptotic properties of the derivative of self-intersection local time of fractional Brownian motion ⋮ Derivative for self-intersection local time of multidimensional fractional Brownian motion ⋮ Temporal variation for fractional heat equations with additive white noise ⋮ The intrinsic local time sheet of Brownian motion ⋮ Une extension des théorèmes de Ray et Knight sur les temps locaux Browniens. (An extension of the theorems of Ray and Knight on Brownian local times) ⋮ Quadratic covariations for the solution to a stochastic heat equation with space-time white noise ⋮ Super Brownian motion with interactions. ⋮ Hölder continuity and occupation-time formulas for fBm self-intersection local time and its derivative ⋮ The quadratic covariation for a weighted fractional Brownian motion

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