Derivative for the intersection local time of two independent fractional Brownian motions (Q5086914)
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scientific article; zbMATH DE number 7554293
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| English | Derivative for the intersection local time of two independent fractional Brownian motions |
scientific article; zbMATH DE number 7554293 |
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Derivative for the intersection local time of two independent fractional Brownian motions (English)
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8 July 2022
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fractional Brownian motion
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intersection local time
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occupation formula
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hybrid quadratic covariation
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Malliavin calculus
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0.8740916848182678
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0.8660340905189514
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0.8629538416862488
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0.8397035002708435
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0.8390061855316162
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