On the Weighted Local Time and the Tanaka Formula for the Multidimensional Fractional Brownian Motion

DOI10.1080/07362990701726365zbMath1143.60039OpenAlexW2067592395MaRDI QIDQ5443469

Hideaki Uemura

Publication date: 21 February 2008

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990701726365

zbMATH Keywords

fractional Brownian motionItô formulaTanaka formulaweighted local timeSkorohod type integral

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic calculus of variations and the Malliavin calculus (60H07) Local time and additive functionals (60J55)

Cites Work

• Unnamed Item
• Generalized Brownian functionals and the solution to a stochastic partial differential equation
• Tanaka formula for multidimensional Brownian motions
• Tanaka formula for the fractional Brownian motion.
• Chaos expansions of double intersection local time of Brownian motion in \(\mathbb{R}^ d\) and renormalization
• Regularity of the Local Time for the d-dimensional Fractional Brownian Motion with N-parameters
• CHAOS EXPANSION OF LOCAL TIME OF FRACTIONAL BROWNIAN MOTIONS
• Stochastic calculus with respect to Gaussian processes

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