Fractional smoothness of derivative of self-intersection local times with respect to bi-fractional Brownian motion
DOI10.1016/j.sysconle.2020.104627zbMath1436.93063OpenAlexW3011090710MaRDI QIDQ1984723
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
Malliavin calculussmoothnessindependentbi-fractional Brownian motionderivative of self-intersection local time
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)
Cites Work
- Self-intersection local times and collision local times of bifractional Brownian motions
- Occupation densities
- On quadratic variation of processes with Gaussian increments
- Fractional order Sobolev spaces on Wiener space
- Stochastic methods
- Smoothness of stopping times of diffusion processes
- Self-intersection local time of fractional Brownian motions -- via chaos expansion
- Fractional smoothness of derivative of self-intersection local times
- THE LAW OF A STOCHASTIC INTEGRAL WITH TWO INDEPENDENT BIFRACTIONAL BROWNIAN MOTIONS
- The Malliavin Calculus and Related Topics
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