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

DOI10.1007/S10959-023-01265-6OpenAlexW4377989290MaRDI QIDQ6204798FDOQ6204798

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

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zbMATH Keywords

existencesmoothnessself-intersection local timeHölder continuity

Mathematics Subject Classification ID

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

Cites Work

• The Malliavin Calculus and Related Topics
• Stochastic calculus for fractional Brownian motion and related processes.
• Integration with respect to fractional local time with Hurst index \(1/2 < \text H < 1\)
• Chaotic expansion and smoothness of some functionals of the fractional Brownian motion
• Renormalized self-intersection local time for fractional Brownian motion
• Hölder continuity and occupation-time formulas for fBm self-intersection local time and its derivative
• On the Tanaka formula for the derivative of self-intersection local time of fractional Brownian motion
• Title not available (Why is that?)
• \(p\)-variation of an integral functional driven by fractional Brownian motion
• Chaos expansions of double intersection local time of Brownian motion in \(\mathbb{R}^ d\) and renormalization
• Regularity of renormalized self-intersection local time for fractional Brownian motion
• Smoothness of Brownian local times and related functionals
• Regularity of the Local Time for the d-dimensional Fractional Brownian Motion with N-parameters
• Multiple intersection local time of planar Brownian motion as a particular Hida distribution
• Tanaka's formula for multiple intersections of planar Brownian motion
• Continuous differentiability of renormalized intersection local times in \(\mathbb{R}^{1}\)
• Fractional smoothness of derivative of self-intersection local times
• Derivative for self-intersection local time of multidimensional fractional Brownian motion
• MULTIPLE INTERSECTION LOCAL TIMES IN TERMS OF WHITE NOISE
• Fractional smoothness of derivative of self-intersection local times with respect to bi-fractional Brownian motion
• Limit theorems for functionals of two independent Gaussian processes
• Higher-order derivative of intersection local time for two independent fractional Brownian motions
• Asymptotic behavior for an additive functional of two independent self-similar Gaussian processes

Cited In (1)

• Limit theorem for self-intersection local time derivative of multidimensional fractional Brownian motion

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