Higher-order derivative of intersection local time for two independent fractional Brownian motions

DOI10.1007/s10959-017-0800-2zbMath1478.60125arXiv1706.06980OpenAlexW2963468996MaRDI QIDQ2312768

Yan-Ping Xiao, Jingjun Guo, Yaozhong Hu

Publication date: 18 July 2019

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1706.06980

zbMATH Keywords

fractional Brownian motionintersection local timeexponential integrability\(k\)-th derivative of intersection local time

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Local time and additive functionals (60J55)

Related Items (10)

Existence and Hölder continuity conditions for self-intersection local time of Rosenblatt process ⋮ Unnamed Item ⋮ Derivative for the intersection local time of two independent fractional Brownian motions ⋮ Higher-order derivative of self-intersection local time for 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 ⋮ Derivative of multiple self-intersection local time for fractional Brownian motion ⋮ Derivatives of local times for some Gaussian fields. II ⋮ 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

Cites Work

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• Regularity of intersection local times of fractional Brownian motions
• Intersection local times of independent fractional Brownian motions as generalized white noise functionals
• Integral representation of renormalized self-intersection local times
• Renormalized self-intersection local time for fractional Brownian motion
• Hölder continuity and occupation-time formulas for fBm self-intersection local time and its derivative
• Intersection local time for two independent fractional Brownian motions
• Stochastic heat equations with general multiplicative Gaussian noises: Hölder continuity and intermittency
• Derivative for self-intersection local time of multidimensional fractional Brownian motion
• Analysis on Gaussian Spaces

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