Regularity of the Local Time for the d-dimensional Fractional Brownian Motion with N-parameters

DOI10.1081/SAP-200050121zbMath1067.60026MaRDI QIDQ4678740

Ciprian A. Tudor, Ramon Lacayo, Josep Vives, Josep Lluís Solé, M'hamed Eddahbi

Publication date: 23 May 2005

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

zbMATH Keywords

chaos expansionSobolev-Watanabe space

Mathematics Subject Classification ID

Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

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Cites Work

• Unnamed Item
• Lectures on stochastic differential equations and Malliavin calculus
• Occupation densities
• The asymptotic behaviour of local times and occupation integrals of the \(N\)-parameter Wiener process in \(\mathbb{R}^ d\)
• Fractional Brownian sheet
• Tanaka formula for the fractional Brownian motion.
• Chaos expansions of double intersection local time of Brownian motion in \(\mathbb{R}^ d\) and renormalization
• Chaos expansions and local times
• CHAOS EXPANSION OF LOCAL TIME OF FRACTIONAL BROWNIAN MOTIONS
• Stochastic calculus with respect to Gaussian processes