Remarks on the intersection local time of fractional Brownian motions

DOI10.1016/J.SPL.2011.01.021zbMATH Open1225.60062OpenAlexW2159978736MaRDI QIDQ552992FDOQ552992

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

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

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)

Cites Work

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

Cited In (15)

• Intersection local time for two independent fractional Brownian motions
• The multifractal spectrum of Brownian intersection local times
• Intersection local times of independent fractional Brownian motions as generalized white noise functionals
• 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.
• Derivative for the intersection local time of two independent fractional Brownian motions

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