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

DOI10.1016/j.spa.2014.07.001zbMath1297.60024arXiv1205.5551OpenAlexW2164799924MaRDI QIDQ404600

Greg Markowsky, Paul H. 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 motionTanaka formulaWiener chaosself-intersection local time

Mathematics Subject Classification ID

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

Related Items (15)

Existence and Hölder continuity conditions for self-intersection local time of Rosenblatt process ⋮ Derivative of intersection local time of independent symmetric stable motions ⋮ Unnamed Item ⋮ Derivative for the intersection local time of two independent fractional Brownian motions ⋮ Higher-order derivative of self-intersection local time for fractional Brownian motion ⋮ 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 ⋮ 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 ⋮ Approximation of fractional local times: zero energy and derivatives ⋮ Asymptotic properties of the derivative of self-intersection local time of fractional Brownian motion ⋮ Derivative for self-intersection local time of multidimensional fractional Brownian motion ⋮ Higher-order derivative of intersection local time for two independent fractional Brownian motions ⋮ 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

Cites Work

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• Hölder continuity and occupation-time formulas for fBm self-intersection local time and its derivative
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