Integration with respect to fractional local time with Hurst index \(1/2 < \text H < 1\)

DOI10.1007/s11118-008-9108-2zbMath1161.60019arXiv0803.3665OpenAlexW2043239465MaRDI QIDQ1014000

Litan Yan, Xiangfeng Yang, Jun-Feng Liu

Publication date: 24 April 2009

Published in: Potential Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0803.3665

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (18)

The fractional derivative for fractional Brownian local time with Hurst index large than 1/2 ⋮ The generalized quadratic covariation for fractional Brownian motion with Hurst index less than 1/2 ⋮ Derivative for the intersection local time of two independent fractional Brownian motions ⋮ Higher-order derivative of self-intersection local time for 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 ⋮ Asymptotic theory for fractional regression models via Malliavin calculus ⋮ Remarks on an integral functional driven by sub-fractional Brownian motion ⋮ The generalized Bouleau-Yor identity for a sub-fractional Brownian motion ⋮ Integration with respect to the \(G\)-Brownian local time ⋮ An integral functional driven by fractional Brownian motion ⋮ Derivative for self-intersection local time of multidimensional fractional Brownian motion ⋮ Temporal variation for fractional heat equations with additive white noise ⋮ Forward and symmetric Wick-Itô integrals with respect to fractional Brownian motion ⋮ A strong convergence to the tempered fractional Brownian motion ⋮ Quadratic covariations for the solution to a stochastic heat equation with space-time white noise ⋮ Hölder continuity and occupation-time formulas for fBm self-intersection local time and its derivative

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