Derivative for the intersection local time of two independent fractional Brownian motions
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Cites work
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- Averaging along irregular curves and regularisation of ODEs
- Derivative for self-intersection local time of multidimensional fractional Brownian motion
- Derivatives of local times for some Gaussian fields
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- Generalized covariations, local time and Stratonovich Itô's formula for fractional Brownian motion with Hurst index \(H\geq\frac 1 4\).
- Higher-order derivative of intersection local time for two independent fractional Brownian motions
- Hölder continuity and occupation-time formulas for fBm self-intersection local time and its derivative
- scientific article; zbMATH DE number 3748150 (Why is no real title available?)
- scientific article; zbMATH DE number 44587 (Why is no real title available?)
- scientific article; zbMATH DE number 1256059 (Why is no real title available?)
- scientific article; zbMATH DE number 2149888 (Why is no real title available?)
- Integral transformations and anticipative calculus for fractional Brownian motions
- Integration with respect to fractional local time with Hurst index \(1/2 < \text H < 1\)
- Integration with respect to local time
- Intersection local time for two independent fractional Brownian motions
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- Quadratic covariation and Itô's formula for smooth nondegenerate martingales
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- The generalized quadratic covariation for fractional Brownian motion with Hurst index less than 1/2
- The Malliavin Calculus and Related Topics
- Two-parameter \(p,q\)-variation paths and integrations of local times
Cited in
(6)- Higher-order derivative of intersection local time for two independent fractional Brownian motions
- Derivative of intersection local time of independent symmetric stable motions
- Higher-order derivative of self-intersection local time for fractional Brownian motion
- Derivative for self-intersection local time of multidimensional fractional Brownian motion
- Derivatives of intersection local time for two independent symmetric \(\alpha\)-stable processes
- On the exponential integrability of the derivative of intersection and self-intersection local time for Brownian motion and related processes
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