Functional limit theorem for the self-intersection local time of the fractional Brownian motion

DOI10.1214/18-AIHP889zbMath1477.60064arXiv1701.05289MaRDI QIDQ1731153

Arturo Jaramillo, David Nualart

Publication date: 20 March 2019

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1701.05289

zbMATH Keywords

fractional Brownian motionself-intersection local time

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic calculus of variations and the Malliavin calculus (60H07) Local time and additive functionals (60J55)

Related Items (10)

Existence and Hölder continuity conditions for self-intersection local time of Rosenblatt process ⋮ Higher-order derivative of self-intersection local time for fractional Brownian motion ⋮ Continuous Breuer-Major theorem: tightness and nonstationarity ⋮ Limit theorems for additive functionals of the 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 ⋮ On eigenvalues of the Brownian sheet matrix ⋮ The functional Breuer-Major theorem ⋮ Fluctuations for matrix-valued Gaussian processes ⋮ Existence, renormalization, and regularity properties of higher order derivatives of self-intersection local time of fractional Brownian motion

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