Smoothness for the collision local time of two multidimensional bifractional Brownian motions
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Publication:4909744
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
60G15: Gaussian processes
60G22: Fractional processes, including fractional Brownian motion
60J65: Brownian motion
60G18: Self-similar stochastic processes
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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
- A decomposition of the bifractional Brownian motion and some applications
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- The generalized Bouleau-Yor identity for a sub-fractional Brownian motion
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- MULTIDIMENSIONAL BIFRACTIONAL BROWNIAN MOTION: ITÔ AND TANAKA FORMULAS
- ON THE COLLISION LOCAL TIME OF BIFRACTIONAL BROWNIAN MOTIONS