The \(\frac{4}{3}\)-variation of the derivative of the self-intersection Brownian local time and related processes

DOI10.1007/s10959-012-0469-5zbMath1306.60113arXiv1203.1368OpenAlexW2021401101MaRDI QIDQ471515

Yaozhong Hu, David Nualart, Jian Song

Publication date: 17 November 2014

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

Full work available at URL: https://arxiv.org/abs/1203.1368

zbMATH Keywords

Brownian motionself-intersection local time\(\beta\)-variationfractional martingale

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Brownian motion (60J65) Probabilistic measure theory (60A10) Local time and additive functionals (60J55)

Related Items (1)

On the Tanaka formula for the derivative of self-intersection local time of fractional Brownian motion

Cites Work

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• Joint continuity of renormalized intersection local times
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• The Malliavin Calculus and Related Topics
• Local time is a semi-martingale
• Equivalent martingale measures and no-arbitrage
• Fractional Brownian Motions, Fractional Noises and Applications
• Dirichlet processes and an intrinsic characterization of renormalized intersection local times

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