Fractional smoothness of derivative of self-intersection local times

DOI10.1016/j.spl.2017.06.007zbMath1386.60141OpenAlexW2661271225MaRDI QIDQ1687222

Qun Shi, Xianye Yu

Publication date: 22 December 2017

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

Full work available at URL: https://doi.org/10.1016/j.spl.2017.06.007

zbMATH Keywords

fractional Brownian motionBrownian motionsmoothnessderivative of self-intersection local time

Mathematics Subject Classification ID

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

Related Items (4)

Smoothness of higher order derivative of self-intersection local time for fractional Brownian motion ⋮ Derivative of multiple self-intersection local time for fractional Brownian motion ⋮ Fractional smoothness of derivative of self-intersection local times with respect to bi-fractional Brownian motion ⋮ Existence, renormalization, and regularity properties of higher order derivatives of self-intersection local time of fractional Brownian motion

Cites Work

• Regularity of renormalized self-intersection local time for fractional Brownian motion
• Smoothness of Brownian local times and related functionals
• Fractional order Sobolev spaces on Wiener space
• Smoothness of stopping times of diffusion processes
• Tanaka formula for the fractional Brownian motion.
• Chaos expansions of double intersection local time of Brownian motion in \(\mathbb{R}^ d\) and renormalization
• Hölder continuity and occupation-time formulas for fBm self-intersection local time and its derivative
• Chaos expansions and local times
• Derivative of intersection local time of independent symmetric stable motions
• Stochastic calculus for fractional Brownian motion and related processes.
• Regularity of local times of random fields
• Derivative for self-intersection local time of multidimensional fractional Brownian motion
• Integral transformations and anticipative calculus for fractional Brownian motions
• The Malliavin Calculus and Related Topics
• Smoothness of local times of semimartingales
• Regularity of the Local Time for the d-dimensional Fractional Brownian Motion with N-parameters
• Stochastic Calculus for Fractional Brownian Motion and Applications
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