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

DOI10.1016/j.spa.2016.06.023zbMath1354.60042arXiv1512.07219OpenAlexW2963999838MaRDI QIDQ730357

David Nualart, Arturo Jaramillo

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

fractional Brownian motioncentral limit theoremWiener chaos expansionself-intersection local time

Mathematics Subject Classification ID

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

Related Items (9)

Existence and Hölder continuity conditions for self-intersection local time of Rosenblatt process ⋮ Unnamed Item ⋮ Higher-order derivative of self-intersection local time for fractional Brownian motion ⋮ Self-intersection local time derivative for systems of non-linear stochastic heat equations ⋮ Smoothness of higher order derivative of self-intersection local time for fractional Brownian motion ⋮ Asymptotic properties for \(q\)-th chaotic component of derivative of self-intersection local time of fractional Brownian motion ⋮ Derivative formulas and applications for degenerate stochastic differential equations with fractional noises ⋮ Berry-Esseen bounds in the Breuer-major CLT and Gebelein's inequality ⋮ Existence, renormalization, and regularity properties of higher order derivatives of self-intersection local time of fractional Brownian motion

Cites Work

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• On the Tanaka formula for the derivative of self-intersection local time of fractional Brownian motion
• Limit theorems for nonlinear functionals of Volterra processes via white noise analysis
• Central limit theorem for the third moment in space of the Brownian local time increments
• Local time and stochastic area integrals
• Central limit theorems for non-linear functionals of Gaussian fields
• The intersection local time of fractional Brownian motion in the plane
• Renormalized self-intersection local time for fractional Brownian motion
• On \(L^{2}\) modulus of continuity of Brownian local times and Riesz potentials
• Central limit theorems for sequences of multiple stochastic integrals
• The Derivative of the Intersection Local Time of Brownian Motion Through Wiener Chaos

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