Derivatives of local times for some Gaussian fields

DOI10.1016/J.JMAA.2019.123716MaRDI QIDQ2287329zbMATH OpenOpenAlexWikidataFDO

Authors Yanyan Li

Publication date 20 January 2020

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

Full work available at URL https://arxiv.org/abs/1905.09631

zbMATH Keywords

derivatives of local timeGaussian fieldsHölder continuitylocal nondeterminism property

Mathematics Subject Classification ID

Gaussian processes (60G15)

Abstract: In this article, we consider derivatives of local time for a $(2,d)$-Gaussian field [ Z=�ig{ Z(t,s)= X^{H_1}_t -widetilde{X}^{H_2}_s, s,t ge 0�ig}, ] where $X^{H_1}$ and $widetilde{X}^{H_2}$ are two independent processes from a class of $d$-dimensional centered Gaussian processes satisfying certain local nondeterminism property. We first give a condition for existence of derivatives of the local time. Then, under this condition, we show that derivatives of the local time are H"{o}lder continuous in both time and space variables. Moreover, under some additional assumptions, we show that this condition is also necessary for existence of derivatives of the local time at the origin.

Recommendations

• Derivatives of local times for some Gaussian fields. II
• Results on local times of a class of multiparameter Gaussian processes
• Existence of generalized local times for Gaussian random fields
• Local time as an element of the Sobolev space
• On local times of anisotropic Gaussian random fields

Cites work

• A local time analysis of intersections of Brownian paths in the plane
• Approximation of fractional local times: zero energy and derivatives
• Asymptotic behavior for an additive functional of two independent self-similar Gaussian processes
• Higher-order derivative of intersection local time for two independent fractional Brownian motions
• scientific article; zbMATH DE number 3594385 (Why is no real title available?)
• scientific article; zbMATH DE number 3416765 (Why is no real title available?)
• Intersection local time for two independent fractional Brownian motions
• Limit theorems for functionals of two independent Gaussian processes
• Occupation densities
• Regularity of intersection local times of fractional Brownian motions

Cited in

(16)

• Derivatives of local times for some Gaussian fields. II
• Higher-order derivative of self-intersection local time for fractional Brownian motion
• scientific article; zbMATH DE number 6379261 (Why is no real title available?)
• scientific article; zbMATH DE number 4105964 (Why is no real title available?)
• Existence, renormalization, and regularity properties of higher order derivatives of self-intersection local time of fractional Brownian motion
• Existence and Hölder continuity conditions for self-intersection local time of Rosenblatt process
• Derivative for the intersection local time of two independent fractional Brownian motions
• 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
• Derivatives of intersection local time for two independent symmetric \(\alpha\)-stable processes
• Higher-order derivative of local times for space-time anisotropic Gaussian random fields
• Functional limit theorems for some self-similar Gaussian processes in critical and subcritical cases
• Exact convergence rates to derivatives of local time for some self-similar Gaussian processes
• On the exponential integrability of the derivative of intersection and self-intersection local time for Brownian motion and related processes
• Limit theorems for additive functionals of some self-similar Gaussian processes
• Properties of Gaussian local times

This page was built for publication: Derivatives of local times for some Gaussian fields

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2287329)