Asymptotic properties for q-th chaotic component of derivative of self-intersection local time of fractional Brownian motion

DOI10.1016/J.JMAA.2020.124477zbMATH Open1469.60118OpenAlexW3048226841MaRDI QIDQ2199309FDOQ2199309

Authors: Qian Yu 

Publication date: 16 September 2020

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2020.124477

Recommendations

• Asymptotic properties of the derivative of self-intersection local time of fractional Brownian motion
• Renormalized self-intersection local time for fractional Brownian motion
• Functional limit theorem for the self-intersection local time of the fractional Brownian motion
• Self-intersection local time of fractional Brownian motions -- via chaos expansion
• The renormalization of self intersection local times of fractional Brownian motion

zbMATH Keywords

central limit theoremfractional Brownian motionWiener chaos expansionself-intersection local time

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Local time and additive functionals (60J55)

Cites Work

• Stochastic Calculus for Fractional Brownian Motion and Applications
• Normal approximations with Malliavin calculus. From Stein's method to universality
• Integration with respect to fractional local time with Hurst index \(1/2 < \text H < 1\)
• Limit theorems for nonlinear functionals of Volterra processes via white noise analysis
• Self-intersection local time of fractional Brownian motions -- via chaos expansion
• Renormalized self-intersection local time for fractional Brownian motion
• Hölder continuity and occupation-time formulas for fBm self-intersection local time and its derivative
• On the Tanaka formula for the derivative of self-intersection local time of fractional Brownian motion
• \(p\)-variation of an integral functional driven by fractional Brownian motion
• Hölder conditions for the local times and the Hausdorff measure of the level sets of Gaussian random fields
• Higher-order derivative of self-intersection local time for fractional Brownian motion
• Asymptotic properties of the derivative of self-intersection local time of fractional Brownian motion
• Derivative for self-intersection local time of multidimensional fractional Brownian motion

Cited In (4)

• Existence and Hölder continuity conditions for self-intersection local time of Rosenblatt process
• Existence, renormalization, and regularity properties of higher order derivatives of self-intersection local time of fractional Brownian motion
• 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

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