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

DOI10.1016/J.SPA.2016.06.023MaRDI QIDQ730357zbMATH OpenOpenAlexFDO

Authors Arturo Jaramillo, David Nualart

Publication date 27 December 2016

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

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

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)

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 $frac34<H<frac4q-34q-2$.

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Cited in

(16)

• The local time of the linear self-attracting diffusion driven by weighted fractional Brownian motion
• Derivative for self-intersection local time of multidimensional fractional Brownian motion
• Local asymptotic self-similarity for heavy-tailed harmonizable fractional Lévy motions
• 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
• Derivative formulas and applications for degenerate stochastic differential equations with fractional noises
• Renormalized self-intersection local time for fractional Brownian motion
• Existence and Hölder continuity conditions for self-intersection local time of Rosenblatt process
• 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
• Functional limit theorem for the self-intersection local time of the fractional Brownian motion
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• Smoothness of higher order derivative of self-intersection local time for fractional Brownian motion
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