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

DOI10.1007/s10587-012-0077-7zbMath1274.60119MaRDI QIDQ4909744

Chao Chen, Litan Yan, Guang Jun 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

intersection local time; chaos expansion; collision local time; bifractional Brownian motion

Mathematics Subject Classification ID

60G15: Gaussian processes

60G22: Fractional processes, including fractional Brownian motion

60J65: Brownian motion

60G18: Self-similar stochastic processes

Related Items

Smoothness of local times and self-intersection local times of Gaussian random fields

Cites Work

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