Smoothness of higher order derivative of self-intersection local time for fractional Brownian motion

DOI10.1080/03610926.2021.1977322OpenAlexW3201610405MaRDI QIDQ6107530

Qiangqiang Chang, Guang Jun Shen, Qian Yu

Publication date: 3 July 2023

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2021.1977322

zbMATH Keywords

fractional Brownian motionsmoothnessintersection local timescollision local timesderivative of self-intersection local time

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (2)

Existence and Hölder continuity conditions for self-intersection local time of Rosenblatt process ⋮ Self-intersection local time derivative for systems of non-linear stochastic heat equations

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