Remarks on the intersection local time of fractional Brownian motions

DOI10.1016/J.SPL.2011.01.021MaRDI QIDQ552992zbMATH OpenOpenAlexFDO

Authors 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 motionchaos expansionintersection local time

Mathematics Subject Classification ID

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

Recommendations

• Necessary and sufficient condition for the smoothness of intersection local time of subfractional Brownian motions
• Intersection local time for two independent fractional Brownian motions
• Self-intersection local times and collision local times of bifractional Brownian motions
• Intersection local times of independent fractional Brownian motions as generalized white noise functionals
• Regularity of intersection local times of fractional Brownian motions

Cites work

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

Cited in

(15)

• Derivative for the intersection local time of two independent fractional Brownian motions
• Intersection local time for two independent fractional Brownian motions
• Intersection local times of independent fractional Brownian motions as generalized white noise functionals
• The multifractal spectrum of Brownian intersection local times
• Higher-order derivative of local times for space-time anisotropic Gaussian random fields
• Existence and Hölder continuity conditions for self-intersection local time of Rosenblatt process
• The derivative of the intersection local time of Brownian motion through Wiener chaos
• Existence and smoothness of local time and self-intersection local time for spherical Gaussian random fields
• Smoothness of local times and self-intersection local times of Gaussian random fields
• Existence, renormalization, and regularity properties of higher order derivatives of self-intersection local time of fractional Brownian motion
• On the collision local time of fractional Brownian motions
• Regularity of intersection local times of fractional Brownian motions
• Smoothness of self-intersection local time of multidimensional fractional Brownian motion
• Intersection local times in \(L_2\) for Markov processes
• Smoothness for the collision local time of two multidimensional bifractional Brownian motions.

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