\(p\)-variation of an integral functional driven by fractional Brownian motion

DOI10.1016/j.spl.2007.11.008zbMath1140.60317OpenAlexW2089030461MaRDI QIDQ930091

Yunsheng Lu, Xiangfeng Yang, Litan Yan

Publication date: 19 June 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2007.11.008

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic integrals (60H05) Local time and additive functionals (60J55)

Related Items (11)

Derivative of intersection local time of independent symmetric stable motions ⋮ The Derivative of the Intersection Local Time of Brownian Motion Through Wiener Chaos ⋮ Derivative for the intersection local time of two independent fractional Brownian motions ⋮ Higher-order derivative of self-intersection local time for fractional Brownian motion ⋮ On the Tanaka formula for the derivative of self-intersection local time of fractional Brownian motion ⋮ 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 of multiple self-intersection local time for fractional Brownian motion ⋮ Remarks on an integral functional driven by sub-fractional Brownian motion ⋮ Derivative for self-intersection local time of multidimensional fractional Brownian motion ⋮ Hölder continuity and occupation-time formulas for fBm self-intersection local time and its derivative

Cites Work

• Local time and stochastic area integrals
• Self-intersection local time of fractional Brownian motions -- via chaos expansion
• Renormalized self-intersection local time for fractional Brownian motion
• Tanaka formula for the fractional Brownian motion.
• Integral transformations and anticipative calculus for fractional Brownian motions
• An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion
• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• The Malliavin Calculus and Related Topics
• Weighted Local Time for Fractional Brownian Motion and Applications to Finance
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