Derivative of multiple self-intersection local time for fractional Brownian motion

DOI10.1007/S10959-023-01265-6MaRDI QIDQ6204798zbMATH OpenOpenAlexFDO

Authors Jingjun Guo, Cuiyun Zhang, Aiqin Ma

Publication date 2 April 2024

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10959-023-01265-6

zbMATH Keywords

existenceHölder continuityself-intersection local timesmoothness

Mathematics Subject Classification ID

(L^p)-limit theorems (60F25) Fractional processes, including fractional Brownian motion (60G22) Local time and additive functionals (60J55)

Recommendations

• Fractional smoothness of derivative of self-intersection local times
• Higher-order derivative of self-intersection local time for fractional Brownian motion
• Derivative for self-intersection local time of multidimensional fractional Brownian motion
• Hölder continuity and occupation-time formulas for fBm self-intersection local time and its derivative
• Existence, renormalization, and regularity properties of higher order derivatives of self-intersection local time of fractional Brownian motion

Cites work

• \(p\)-variation of an integral functional driven by fractional Brownian motion
• Asymptotic behavior for an additive functional of two independent self-similar Gaussian processes
• Chaos expansions of double intersection local time of Brownian motion in \(\mathbb{R}^ d\) and renormalization
• Chaotic expansion and smoothness of some functionals of the fractional Brownian motion
• Continuous differentiability of renormalized intersection local times in \(\mathbb{R}^{1}\)
• Derivative for self-intersection local time of multidimensional 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
• Higher-order derivative of intersection local time for two independent fractional Brownian motions
• scientific article; zbMATH DE number 2149888 (Why is no real title available?)
• Hölder continuity and occupation-time formulas for fBm self-intersection local time and its derivative
• Integration with respect to fractional local time with Hurst index \(1/2 < \text H < 1\)
• Limit theorems for functionals of two independent Gaussian processes
• Multiple intersection local time of planar Brownian motion as a particular Hida distribution
• MULTIPLE INTERSECTION LOCAL TIMES IN TERMS OF WHITE NOISE
• On the Tanaka formula for the derivative of self-intersection local time of fractional Brownian motion
• Regularity of renormalized self-intersection local time for fractional Brownian motion
• Regularity of the Local Time for the d-dimensional Fractional Brownian Motion with N-parameters
• Renormalized self-intersection local time for fractional Brownian motion
• Smoothness of Brownian local times and related functionals
• Stochastic calculus for fractional Brownian motion and related processes.
• Tanaka's formula for multiple intersections of planar Brownian motion
• The Malliavin Calculus and Related Topics

Cited in

(2)

• Limit theorem for self-intersection local time derivative of multidimensional fractional Brownian motion
• On the exponential integrability of the derivative of intersection and self-intersection local time for Brownian motion and related processes

This page was built for publication: Derivative of multiple self-intersection local time for fractional Brownian motion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6204798)