Fractional smoothness of derivative of self-intersection local times with respect to bi-fractional Brownian motion

DOI10.1016/J.SYSCONLE.2020.104627zbMath1436.93063OpenAlexW3011090710MaRDI QIDQ1984723

Qun Shi

Publication date: 7 April 2020

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.sysconle.2020.104627

zbMATH Keywords

Malliavin calculussmoothnessindependentbi-fractional Brownian motionderivative of self-intersection local time

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic calculus of variations and the Malliavin calculus (60H07) Control/observation systems governed by ordinary differential equations (93C15)

Related Items (5)

Existence and Hölder continuity conditions for self-intersection local time of Rosenblatt process ⋮ Self-intersection local time derivative for systems of non-linear stochastic heat equations ⋮ Smoothness of higher order derivative of self-intersection local time for fractional Brownian motion ⋮ Derivative of multiple self-intersection local time for fractional Brownian motion ⋮ Existence, renormalization, and regularity properties of higher order derivatives of self-intersection local time of fractional Brownian motion

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• THE LAW OF A STOCHASTIC INTEGRAL WITH TWO INDEPENDENT BIFRACTIONAL BROWNIAN MOTIONS
• The Malliavin Calculus and Related Topics

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