Smoothness of self-intersection local time of multidimensional fractional Brownian motion

DOI10.1080/03610926.2018.1493508OpenAlexW2898177519WikidataQ129049778 ScholiaQ129049778MaRDI QIDQ5076899FDOQ5076899

Authors: Xianye Yu 

Publication date: 17 May 2022

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2018.1493508

Recommendations

• Regularity of intersection local times of fractional Brownian motions
• Regularity of renormalized self-intersection local time for fractional Brownian motion
• Fractional smoothness of derivative of self-intersection local times
• Fractional smoothness of derivative of self-intersection local times with respect to bi-fractional Brownian motion
• Self-intersection local times and collision local times of bifractional Brownian motions

zbMATH Keywords

fractional Brownian motionself-intersection local timefractional smoothnessHölder continuity

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Fractional processes, including fractional Brownian motion (60G22)

Cites Work

• The Malliavin Calculus and Related Topics
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• Stochastic calculus for fractional Brownian motion and related processes.
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• Chaotic expansion and smoothness of some functionals of the fractional Brownian motion
• Intersection local time for two independent fractional Brownian motions
• Fractional order Sobolev spaces on Wiener space
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• Lectures on stochastic differential equations and Malliavin calculus
• Smoothness of stopping times of diffusion processes
• The intersection local time of fractional Brownian motion in the plane
• Self-intersection local time of fractional Brownian motions -- via chaos expansion
• Renormalized self-intersection local time for fractional Brownian motion
• Hölder continuity and occupation-time formulas for fBm self-intersection local time and its derivative
• Chaos expansions of double intersection local time of Brownian motion in \(\mathbb{R}^ d\) and renormalization
• Regularity of renormalized self-intersection local time for fractional Brownian motion
• Smoothness of Brownian local times and related functionals
• Regularity of the Local Time for the d-dimensional Fractional Brownian Motion with N-parameters
• Smoothness of local times of semimartingales
• Remarks on the intersection local time of fractional Brownian motions
• A remark on non-smoothness of the self-intersection local time of planar Brownian motion
• Derivative for self-intersection local time of multidimensional fractional Brownian motion

Cited In (15)

• Derivative for self-intersection local time of multidimensional fractional Brownian motion
• Smoothness for the renormalized self-intersection local time of bifractional Brownian motion
• Smoothness for the collision local times of bifractional Brownian motions
• Hölder continuity and occupation-time formulas for fBm self-intersection local time and its derivative
• Regularity of renormalized self-intersection local time for fractional Brownian motion
• Existence and Hölder continuity conditions for self-intersection local time of Rosenblatt process
• Renormalized self-intersection local time for fractional Brownian motion
• A remark on non-smoothness of the self-intersection local time of planar Brownian motion
• Existence, renormalization, and regularity properties of higher order derivatives of self-intersection local time of fractional Brownian motion
• Title not available (Why is that?)
• Regularity of intersection local times of fractional Brownian motions
• Functional limit theorem for the self-intersection local time of the fractional Brownian motion
• Fractional smoothness of derivative of self-intersection local times
• Necessary and sufficient condition for the smoothness of intersection local time of subfractional Brownian motions
• Smoothness of higher order derivative of self-intersection local time for fractional Brownian motion

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