Local time and stochastic area integrals

DOI10.1214/AOP/1176990435MaRDI QIDQ806176zbMATH OpenOpenAlexFDO

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

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• The quadratic variation for mixed-fractional Brownian motion
• On the Tanaka formula for the derivative of self-intersection local time of fractional Brownian motion
• Quadratic covariations for the solution to a stochastic heat equation with space-time white noise
• Temporal variation for fractional heat equations with additive white noise
• The derivative of the intersection local time of Brownian motion through Wiener chaos
• Boundary traces of shift-invariant diffusions in half-plane
• Super Brownian motion with interactions.
• Derivatives of intersection local time for two independent symmetric \(\alpha\)-stable processes
• The generalized quadratic covariation for fractional Brownian motion with Hurst index less than \(1/2\)
• 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)
• Derivative for self-intersection local time of multidimensional fractional Brownian motion
• The intrinsic local time sheet of Brownian motion
• Two-parameter \(p,q\)-variation paths and integrations of local times
• The \(\frac{4}{3}\)-variation of the derivative of the self-intersection Brownian local time and related processes
• Remarks on an integral functional driven by sub-fractional Brownian motion
• Continuity of martingales in the Brownian excursion filtration
• Asymptotic properties of the derivative of self-intersection local time of fractional Brownian motion
• Derivative of intersection local time of independent symmetric stable motions
• Ray-Knight theorems related to a stochastic flow
• scientific article; zbMATH DE number 125756 (Why is no real title available?)

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