On the Tanaka formula for the derivative of self-intersection local time of fractional Brownian motion

DOI10.1016/J.SPA.2014.07.001zbMATH Open1297.60024arXiv1205.5551OpenAlexW2164799924MaRDI QIDQ404600FDOQ404600

Authors: Greg Markowsky, P. Jung 

Publication date: 4 September 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: The derivative of self-intersection local time (DSLT) for Brownian motion was introduced by Rosen and subsequently used by others to study the $L^2$ and $L^3$ moduli of continuity of Brownian local time. A version of the DSLT for fractional Brownian motion (fBm) has also appeared in the literature. In the present work, we further its study by proving a Tanaka-style formula for it. In the course of this endeavor we provide a Fubini theorem for integrals with respect to fBm. The Fubini theorem may be of independent interest, as it generalizes (to Hida distributions) similar results previously seen in the literature. Finally, we also give an explicit Wiener chaos expansion for the DSLT of fBm

Full work available at URL: https://arxiv.org/abs/1205.5551

Recommendations

• Hölder continuity and occupation-time formulas for fBm self-intersection local time and its derivative
• Existence, renormalization, and regularity properties of higher order derivatives of self-intersection local time of fractional Brownian motion
• Tanaka formula for the fractional Brownian motion.
• Higher-order derivative of self-intersection local time for fractional Brownian motion
• Derivative for self-intersection local time of multidimensional fractional Brownian motion

zbMATH Keywords

fractional Brownian motionWiener chaosself-intersection local timeTanaka formula

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Local time and additive functionals (60J55)

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Cited In (18)

• The local time of the linear self-attracting diffusion driven by weighted fractional Brownian motion
• Derivative for self-intersection local time of multidimensional fractional Brownian motion
• Higher-order derivative of self-intersection local time for fractional Brownian motion
• Approximation of fractional local times: zero energy and derivatives
• The \(\frac{4}{3}\)-variation of the derivative of the self-intersection Brownian local time and related processes
• Limit theorem for self-intersection local time derivative of multidimensional fractional Brownian motion
• Hölder continuity and occupation-time formulas for fBm self-intersection local time and its derivative
• Higher-order derivative of intersection local time for two independent fractional Brownian motions
• 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
• Asymptotic properties of the derivative of self-intersection local time of fractional Brownian motion
• Derivative of multiple self-intersection local time for fractional Brownian motion
• Self-intersection local time derivative for systems of non-linear stochastic heat equations
• Asymptotic properties for \(q\)-th chaotic component of derivative of self-intersection local time of fractional Brownian motion
• Derivatives of intersection local time for two independent symmetric \(\alpha\)-stable processes
• Derivative of intersection local time of independent symmetric stable motions
• Smoothness of higher order derivative of self-intersection local time for fractional Brownian motion
• Derivative for the intersection local time of two independent fractional Brownian motions

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