Regularity of the Local Time for the d-dimensional Fractional Brownian Motion with N-parameters
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Publication:4678740
DOI10.1081/SAP-200050121zbMATH Open1067.60026MaRDI QIDQ4678740FDOQ4678740
Authors: M'hamed Eddahbi, Ramon Lacayo, Josép Lluis Solé, Josep Vives, Ciprian A. Tudor 
Publication date: 23 May 2005
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
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Cites Work
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- Stochastic calculus with respect to Gaussian processes
- Occupation densities
- The asymptotic behaviour of local times and occupation integrals of the \(N\)-parameter Wiener process in \(\mathbb{R}^ d\)
- Tanaka formula for the fractional Brownian motion.
- Fractional Brownian sheet
- Lectures on stochastic differential equations and Malliavin calculus
- Chaos expansions and local times
- Chaos expansions of double intersection local time of Brownian motion in \(\mathbb{R}^ d\) and renormalization
- CHAOS EXPANSION OF LOCAL TIME OF FRACTIONAL BROWNIAN MOTIONS
Cited In (28)
- Régularité du temps local brownien dans les espaces de Besov-Orlicz
- Nonparametric regression with subfractional Brownian motion via Malliavin calculus
- Itô formula for the two-parameter fractional Brownian motion using the extended divergence operator
- Renormalization Of The Local Time For The d-Dimensional Fractional Brownian Motion With N Parameters
- The existence and smoothness of self-intersection local time for a class of Gaussian processes
- Asymptotic theory for fractional regression models via Malliavin calculus
- 2D-stochastic currents over the Wiener sheet
- Hölder conditions for the local times of multiscale fractional Brownian motion
- Regularity of local times of Gaussian self-similar quasi-helices
- On the existence and regularity of local times
- Smoothness of local times and self-intersection local times of Gaussian random fields
- Asymptotic behavior for bi-fractional regression models via Malliavin calculus
- On bifractional Brownian motion
- Regularity of intersection local times of fractional Brownian motions
- On the Weighted Local Time and the Tanaka Formula for the Multidimensional Fractional Brownian Motion
- Derivative of multiple self-intersection local time for fractional Brownian motion
- Sample path properties of bifractional Brownian motion
- Wiener integrals, Malliavin calculus and covariance measure structure
- Brownian and fractional Brownian stochastic currents via Malliavin calculus
- MULTIDIMENSIONAL BIFRACTIONAL BROWNIAN MOTION: ITÔ AND TANAKA FORMULAS
- Fractional smoothness of derivative of self-intersection local times
- Smoothness of self-intersection local time of multidimensional fractional Brownian motion
- Precise local estimates for differential equations driven by fractional Brownian motion: elliptic case
- ON THE COLLISION LOCAL TIME OF BIFRACTIONAL BROWNIAN MOTIONS
- Random rewards, fractional Brownian local times and stable self-similar processes
- Chaos decomposition of local time for \(d\)-dimensional fractional Brownian motion with \(N\)-parameters
- Smoothness of higher order derivative of self-intersection local time for fractional Brownian motion
- Regularity of local times of random fields
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