The Derivative of the Intersection Local Time of Brownian Motion Through Wiener Chaos

DOI10.1007/978-3-642-27461-9_6zbMath1248.60093OpenAlexW44974716MaRDI QIDQ2906158

Greg Markowsky

Publication date: 29 August 2012

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-27461-9_6

zbMATH Keywords

existence theoremWiener chaosderivative of the intersection local time of Brownian motion

Mathematics Subject Classification ID

Brownian motion (60J65) Local time and additive functionals (60J55)

Related Items (5)

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 ⋮ Approximation of fractional local times: zero energy and derivatives ⋮ Asymptotic properties of the derivative of self-intersection local time of fractional Brownian motion ⋮ Existence, renormalization, and regularity properties of higher order derivatives of self-intersection local time of fractional Brownian motion

Cites Work

• Central limit theorem for the third moment in space of the Brownian local time increments
• The intrinsic local time sheet of Brownian motion
• Local time and stochastic area integrals
• \(p\)-variation of an integral functional driven by fractional Brownian motion
• Renormalization and convergence in law for the derivative of intersection local time in \(\mathbf R^2\)
• Séminaire de probabilités XXI. (Université de Strasbourg, Institut de Mathématiques)
• Renormalized self-intersection local time for fractional Brownian motion
• Chaos expansions and local times
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