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

DOI10.1016/J.SPA.2014.07.001MaRDI QIDQ404600zbMATH OpenOpenAlexFDO

Authors Greg Markowsky, P. Jung

Publication date 4 September 2014

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

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

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)

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

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

Cites work

• scientific article; zbMATH DE number 3831020 (Why is no real title available?)
• scientific article; zbMATH DE number 3127846 (Why is no real title available?)
• scientific article; zbMATH DE number 408258 (Why is no real title available?)
• scientific article; zbMATH DE number 2149888 (Why is no real title available?)
• scientific article; zbMATH DE number 4000260 (Why is no real title available?)
• scientific article; zbMATH DE number 785439 (Why is no real title available?)
• scientific article; zbMATH DE number 936525 (Why is no real title available?)
• scientific article; zbMATH DE number 4188931 (Why is no real title available?)
• A General Fractional White Noise Theory And Applications To Finance
• An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion
• Central limit theorem for the third moment in space of the Brownian local time increments
• Chaos expansions and local times
• Characterizations of the white noise test functionals and hida distributions
• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• Hölder continuity and occupation-time formulas for fBm self-intersection local time and its derivative
• Local time and stochastic area integrals
• Multiple Wiener integral
• Proof of a Tanaka-like formula stated by J. Rosen in Séminaire XXXVIII
• Properties of local-nondeterminism of Gaussian and stable random fields and their applications
• Renormalization and convergence in law for the derivative of intersection local time in \(\mathbf R^2\)
• Renormalized self-intersection local time for fractional Brownian motion
• Self-intersection local time of fractional Brownian motions -- via chaos expansion
• Stochastic Calculus for Fractional Brownian Motion and Applications
• Stochastic calculus for fractional Brownian motion and related processes.
• Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter \(H \in (0,\frac {1}{2})\)
• Stochastic integral representation of the \(L^{2}\) modulus of Brownian local time and a central limit theorem
• The \(\frac{4}{3}\)-variation of the derivative of the self-intersection Brownian local time and related processes
• The derivative of the intersection local time of Brownian motion through Wiener chaos
• The intersection local time of fractional Brownian motion in the plane
• The intrinsic local time sheet of Brownian motion
• White noise-based stochastic calculus with respect to multifractional Brownian motion
• \(p\)-variation of an integral functional driven by fractional Brownian motion

Cited in

(18)

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

This page was built for publication: On the Tanaka formula for the derivative of self-intersection local time of fractional Brownian motion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q404600)