Smoothness for the collision local time of two multidimensional bifractional Brownian motions.

DOI10.1007/S10587-012-0077-7MaRDI QIDQ4909744zbMATH OpenOpenAlexFDO

Authors Litan Yan, Chao Chen, Guangjun Shen

Publication date 21 March 2013

Published in Czechoslovak Mathematical Journal (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10338.dmlcz/143039

zbMATH Keywords

bifractional Brownian motionchaos expansionintersection local timecollision local time

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Brownian motion (60J65) Self-similar stochastic processes (60G18)

Recommendations

• Smoothness for the collision local times of bifractional Brownian motions
• ON THE COLLISION LOCAL TIME OF BIFRACTIONAL BROWNIAN MOTIONS
• On the collision local time of sub-bifractional Brownian motions
• Smoothness of the collision local times of sub-fractional Brownian motions
• On the collision local time of sub-fractional Brownian motions

Cites work

• A decomposition of the bifractional Brownian motion and some applications
• Integral transformations and anticipative calculus for fractional Brownian motions
• Intersection local time for two independent fractional Brownian motions
• Lectures on stochastic differential equations and Malliavin calculus
• MULTIDIMENSIONAL BIFRACTIONAL BROWNIAN MOTION: ITÔ AND TANAKA FORMULAS
• ON THE COLLISION LOCAL TIME OF BIFRACTIONAL BROWNIAN MOTIONS
• On bifractional Brownian motion
• Remarks on the intersection local time of fractional Brownian motions
• Sample path properties of bifractional Brownian motion
• Self-intersection local time of fractional Brownian motions -- via chaos expansion
• Self-intersection local times and collision local times of bifractional Brownian motions
• Smoothness for the collision local times of bifractional Brownian motions
• The Malliavin Calculus and Related Topics
• Wiener integrals, Malliavin calculus and covariance measure structure

Cited in

(6)

• scientific article; zbMATH DE number 6611689 (Why is no real title available?)
• Smoothness of the collision local times of sub-fractional Brownian motions
• ON THE COLLISION LOCAL TIME OF BIFRACTIONAL BROWNIAN MOTIONS
• Smoothness of local times and self-intersection local times of Gaussian random fields
• Smoothness for the collision local times of bifractional Brownian motions
• On the collision local time of sub-bifractional Brownian motions

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