Remarks on the intersection local time of fractional Brownian motions

DOI10.1016/j.spl.2011.01.021zbMath1225.60062OpenAlexW2159978736MaRDI QIDQ552992

Litan Yan, Chao Chen

Publication date: 26 July 2011

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2011.01.021

zbMATH Keywords

fractional Brownian motionintersection local timechaos expansion

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (6)

Smoothness of self-intersection local time of multidimensional fractional Brownian motion ⋮ Derivative for the intersection local time of two independent fractional Brownian motions ⋮ Existence and smoothness of local time and self-intersection local time for spherical Gaussian random fields ⋮ Smoothness for the collision local time of two multidimensional bifractional Brownian motions ⋮ Existence, renormalization, and regularity properties of higher order derivatives of self-intersection local time of fractional Brownian motion ⋮ Smoothness of local times and self-intersection local times of Gaussian random fields

Cites Work

• Unnamed Item
• Regularity of intersection local times of fractional Brownian motions
• Lectures on stochastic differential equations and Malliavin calculus
• Self-intersections and local nondeterminism of Gaussian processes
• The intersection local time of fractional Brownian motion in the plane
• Quantum probability for probabilists
• Self-intersection local time: critical exponent, large deviations, and laws of the iterated logarithm
• Renormalized self-intersection local time for fractional Brownian motion
• On the collision local time of fractional Brownian motions
• Stochastic calculus for fractional Brownian motion and related processes.
• Intersection local time for two independent fractional Brownian motions
• Integral transformations and anticipative calculus for fractional Brownian motions
• The Malliavin Calculus and Related Topics
• Stochastic Calculus for Fractional Brownian Motion and Applications

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