Derivative for the intersection local time of two independent fractional Brownian motions

DOI10.1080/17442508.2021.1959584zbMath1490.60089OpenAlexW3207147575MaRDI QIDQ5086914

Xichao Sun, Litan Yan

Publication date: 8 July 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2021.1959584

zbMATH Keywords

fractional Brownian motionMalliavin calculusintersection local timeoccupation formulahybrid quadratic covariation

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Self-similar stochastic processes (60G18) (L^p)-limit theorems (60F25)

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