The fractional derivative for fractional Brownian local time with Hurst index large than 1/2

DOI10.1007/S00209-015-1606-5zbMATH Open1338.60111OpenAlexW2212345685MaRDI QIDQ284812FDOQ284812

Authors: Litan Yan 

Publication date: 18 May 2016

Published in: Mathematische Zeitschrift (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00209-015-1606-5

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zbMATH Keywords

Cauchy principal valueMalliavin calculusfractional Brownian motionfractional derivativelocal time

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic calculus of variations and the Malliavin calculus (60H07) Fractional processes, including fractional Brownian motion (60G22) Fractional derivatives and integrals (26A33) Stochastic integrals (60H05) Local time and additive functionals (60J55)

Cites Work

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• Title not available (Why is that?)
• Stochastic Calculus for Fractional Brownian Motion and Applications
• Stochastic calculus with respect to Gaussian processes
• Limit theorems and variation properties for fractional derivatives of the local time of a stable process
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• Stochastic analysis of the fractional Brownian motion
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• Weighted Local Time for Fractional Brownian Motion and Applications to Finance
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• On the fractional derivative of Brownian local times
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Cited In (11)

• {\(\alpha\)}-time fractional Brownian motion: PDE connections and local times
• Local estimation of the Hurst index of multifractional Brownian motion by increment ratio statistic method
• Bismut type derivative formulae and gradient estimate for multiplicative SDEs with fractional noises
• Title not available (Why is that?)
• On some properties of the fractional derivative of the Brownian local time
• An integral functional driven by fractional Brownian motion
• On the fractional derivative of Brownian local times
• Derivative formulas and applications for degenerate stochastic differential equations with fractional noises
• Limit theorems related to the integral functionals of one dimensional fractional Brownian motion
• Forward and symmetric Wick-Itô integrals with respect to fractional Brownian motion
• Complements on the Hilbert transform and the fractional derivative of Brownian local times

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