Regularity of intersection local times of fractional Brownian motions

DOI10.1007/s10959-009-0221-yzbMath1217.60030arXiv0904.0949OpenAlexW2114493300MaRDI QIDQ616255

Yimin Xiao, Dong Sheng Wu

Publication date: 7 January 2011

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

Full work available at URL: https://arxiv.org/abs/0904.0949

zbMATH Keywords

joint continuityfractional Brownian motionHausdorff dimensionpacking dimensionintersection local timeHölder condition

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Self-similar stochastic processes (60G18) Fractals (28A80) Local time and additive functionals (60J55) (L^p)-limit theorems (60F25)

Related Items (21)

A first-order limit law for functionals of two independent fractional Brownian motions in the critical case ⋮ Derivative for the intersection local time of two independent fractional Brownian motions ⋮ Existence and smoothness of local time and self-intersection local time for spherical Gaussian random fields ⋮ On intersections of independent anisotropic Gaussian random fields ⋮ Central limit theorem for functionals of two independent fractional Brownian motions ⋮ On the self-intersection local time of subfractional Brownian motion ⋮ Large deviations for local times and intersection local times of fractional Brownian motions and Riemann-Liouville processes ⋮ On intersections of independent space-time anisotropic Gaussian fields ⋮ Derivatives of local times for some Gaussian fields. II ⋮ Limit theorems for functionals of two independent Gaussian processes ⋮ Remarks on the intersection local time of fractional Brownian motions ⋮ Asymptotic behavior for an additive functional of two independent self-similar Gaussian processes ⋮ Derivatives of local times for some Gaussian fields ⋮ A strong convergence to the tempered fractional Brownian motion ⋮ Renormalized self-intersection local time of bifractional Brownian motion ⋮ Higher-order derivative of intersection local time for two independent fractional Brownian motions ⋮ Fractional Brownian sheets run with nonlinear clocks ⋮ Hölder continuity and occupation-time formulas for fBm self-intersection local time and its derivative ⋮ Mixed fractional Brownian sheets and their applications ⋮ Existence, renormalization, and regularity properties of higher order derivatives of self-intersection local time of fractional Brownian motion ⋮ Smoothness of local times and self-intersection local times of Gaussian random fields

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