Asymptotic properties of the derivative of self-intersection local time of fractional Brownian motion

DOI10.1016/J.SPA.2016.06.023zbMATH Open1354.60042arXiv1512.07219OpenAlexW2963999838MaRDI QIDQ730357FDOQ730357

Authors: Arturo Jaramillo, David Nualart 

Publication date: 27 December 2016

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: Let ${B_t}_{tgeq0}$ be a fractional Brownian motion with Hurst parameter $frac23<H<1$. We prove that the approximation of the derivative of self-intersection local time, defined as �egin{align*} alpha_{varepsilon} &= int_{0}^{T}int_{0}^{t}p'_{varepsilon}(B_{t}-B_{s}) ext{d}s ext{d}t, end{align*} where $p_{v}arepsilon(x)$ is the heat kernel, satisfies a central limit theorem when renormalized by $varepsilo{n}^{frac32-frac1H}$. We prove as well that for $qgeq2$, the $q$-th chaotic component of $alph{a}_{varepsilon}$ converges in $L^2$ when $frac23<H<frac34$, and satisfies a central limit theorem when renormalized by a multiplicative factor $varepsilo{n}^{1-frac34H}$ in the case $frac34<H<frac4q-34q-2$.

Full work available at URL: https://arxiv.org/abs/1512.07219

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zbMATH Keywords

central limit theoremfractional Brownian motionWiener chaos expansionself-intersection local time

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22)

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Cited In (16)

• Local asymptotic self-similarity for heavy-tailed harmonizable fractional Lévy motions
• Derivative for self-intersection local time of multidimensional fractional Brownian motion
• Higher-order derivative of self-intersection local time for fractional Brownian motion
• The \(\frac{4}{3}\)-variation of the derivative of the self-intersection Brownian local time and related processes
• Limit theorem for self-intersection local time derivative of multidimensional fractional Brownian motion
• Existence and Hölder continuity conditions for self-intersection local time of Rosenblatt process
• Derivative formulas and applications for degenerate stochastic differential equations with fractional noises
• Renormalized self-intersection local time for fractional Brownian motion
• Existence, renormalization, and regularity properties of higher order derivatives of self-intersection local time of fractional Brownian motion
• Berry-Esseen bounds in the Breuer-major CLT and Gebelein's inequality
• Title not available (Why is that?)
• Functional limit theorem for the self-intersection local time of the fractional Brownian motion
• Self-intersection local time derivative for systems of non-linear stochastic heat equations
• Asymptotic properties for \(q\)-th chaotic component of derivative of self-intersection local time of fractional Brownian motion
• Smoothness of higher order derivative of self-intersection local time for fractional Brownian motion
• Title not available (Why is that?)

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