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

DOI10.1007/S10959-023-01300-6MaRDI QIDQ6592131zbMATH OpenFDO

Authors Qian Yu, Xianye Yu

Publication date 24 August 2024

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

Full work available at URL https://doi.org/10.1007/S10959-023-01300-6

zbMATH Keywords

fractional Brownian motionlimit theoremself-intersection local time

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Local time and additive functionals (60J55)

Recommendations

• Higher-order derivative of self-intersection local time for fractional Brownian motion
• Derivative of multiple self-intersection local time for fractional Brownian motion
• Functional limit theorem for the self-intersection local time of the fractional Brownian motion
• Existence, renormalization, and regularity properties of higher order derivatives of self-intersection local time of fractional Brownian motion
• Renormalized self-intersection local time for fractional Brownian motion

Cites work

• \(p\)-variation of an integral functional driven by fractional Brownian motion
• Analysis on Gaussian spaces
• Asymptotic properties of the derivative of self-intersection local time of fractional Brownian motion
• Brownian and fractional Brownian stochastic currents via Malliavin calculus
• Existence, renormalization, and regularity properties of higher order derivatives of self-intersection local time of fractional Brownian motion
• Functional limit theorem for the self-intersection local time of the fractional Brownian motion
• Higher-order derivative of intersection local time for two independent fractional Brownian motions
• Higher-order derivative of self-intersection local time for fractional Brownian motion
• scientific article; zbMATH DE number 2149888 (Why is no real title available?)
• Hölder conditions for the local times and the Hausdorff measure of the level sets of Gaussian random fields
• 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 \(1/2 < \text H < 1\)
• On the Tanaka formula for the derivative of self-intersection local time of fractional Brownian motion
• Renormalization and convergence in law for the derivative of intersection local time in \(\mathbf R^2\)
• Renormalized self-intersection local time for fractional Brownian motion
• Self-intersection local time of fractional Brownian motions -- via chaos expansion
• The intersection local time of fractional Brownian motion in the plane
• The Malliavin Calculus and Related Topics

Cited in

(1)

• Exponential asymptotics for Brownian self-intersection local times under Dalang's condition

This page was built for publication: Limit theorem for self-intersection local time derivative of multidimensional fractional Brownian motion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6592131)