On the collision local time of sub-fractional Brownian motions

DOI10.1016/J.SPL.2009.11.003MaRDI QIDQ2267606zbMATH OpenOpenAlexFDO

Authors Litan Yan, Guangjun Shen

Publication date 1 March 2010

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2009.11.003

Mathematics Subject Classification ID

(L^p)-limit theorems (60F25) Gaussian processes (60G15) Self-similar stochastic processes (60G18) Fractional processes, including fractional Brownian motion (60G22)

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Cited in

(39)

• Least squares estimation for the drift parameters in the sub-fractional Vasicek processes
• Parametric estimation in the Vasicek-type model driven by sub-fractional Brownian motion
• Nonparametric regression with subfractional Brownian motion via Malliavin calculus
• Least squares estimator for -sub-fractional bridges
• On the self-intersection local time of subfractional Brownian motion
• Volatility estimation of general Gaussian Ornstein-Uhlenbeck process
• Lower functions and Chung's LILs of the generalized fractional Brownian motion
• A limit law for functionals of multiple independent fractional Brownian motions
• The \(\mathcal S\)-transform of sub-fBm and an application to a class of linear subfractional BSDEs
• Existence and exponential stability for neutral stochastic integro-differential equations with impulses driven by a Rosenblatt process
• Smoothness of local times and self-intersection local times of Gaussian random fields
• On the collision local time of fractional Brownian motions
• Chung's law of the iterated logarithm for subfractional Brownian motion
• Random walks and subfractional Brownian motion
• Smoothness of the collision local times of sub-fractional Brownian motions
• On the collision local time of sub-bifractional Brownian motions
• ON THE COLLISION LOCAL TIME OF BIFRACTIONAL BROWNIAN MOTIONS
• Collision Local Times and Measure-Valued Processes
• Remarks on confidence intervals for self-similarity parameter of a subfractional Brownian motion
• Stochastic integration with respect to the sub-fractional Brownian motion with
• Particle picture interpretation of some Gaussian processes related to fractional Brownian motion
• On the convergence to the multiple subfractional Wiener-Itō integral
• Remarks on asymptotic behavior of weighted quadratic variation of subfractional Brownian motion
• Smoothness for the collision local time of two multidimensional bifractional Brownian motions.
• Variations and estimators for self-similarity parameter of sub-fractional Brownian motion via Malliavin calculus
• Approximation to two independent Gaussian processes from a unique Lévy process and applications
• Statistical inference for Vasicek-type model driven by self-similar Gaussian processes
• Estimators for the Drift of Subfractional Brownian Motion
• An approximation of subfractional Brownian motion
• Approximation of stochastic differential equations driven by subfractional Brownian motion at discrete time observation
• Remarks on an integral functional driven by sub-fractional Brownian motion
• On the cross-variation of a class of stochastic processes
• Smoothness of local times and self-intersection local times of space-time anisotropic Gaussian random fields
• Oscillation of subfractional Brownian motion and its application
• Least squares estimation for sub-fractional Brownian bridge with linear drift
• Stochastic delay evolution equations driven by sub-fractional Brownian motion
• Smoothness for the collision local times of bifractional Brownian motions
• A law of iterated logarithm for the subfractional Brownian motion and an application
• The exact asymptotic of the collision time tail distribution for independent Brownian particles with different drifts

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