Approximation of fractional local times: zero energy and derivatives

DOI10.1214/20-AAP1643zbMath1476.60068arXiv1903.08683OpenAlexW3209348036MaRDI QIDQ2240878

Ivan Nourdin, Giovanni Peccati, Arturo Jaramillo

Publication date: 4 November 2021

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1903.08683

zbMATH Keywords

functional limit theoremsfractional Brownian motionMalliavin calculushigh-frequency observationsderivatives of the local time

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic calculus of variations and the Malliavin calculus (60H07) Functional limit theorems; invariance principles (60F17) Local time and additive functionals (60J55)

Related Items (5)

Limit theorems for additive functionals of the fractional Brownian motion ⋮ Functional convergence to the local time of a sticky diffusion ⋮ Approximation of occupation time functionals ⋮ Derivatives of local times for some Gaussian fields ⋮ Existence, renormalization, and regularity properties of higher order derivatives of self-intersection local time of fractional Brownian motion

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