Higher-Order Derivative of Self-Intersection Local Time for Fractional Brownian Motion

Journal of Theoretical Probability ◽

10.1007/s10959-021-01093-6 ◽

2021 ◽

Author(s):

Qian Yu

Keyword(s):

Brownian Motion ◽

Fractional Brownian Motion ◽

Higher Order ◽

Order Derivative ◽

Intersection Local Time ◽

Higher Order Derivative

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

Communication in Statistics- Theory and Methods ◽

10.1080/03610926.2021.1977322 ◽

2021 ◽

pp. 1-16

Author(s):

Qian Yu ◽

Qiangqiang Chang ◽

Guangjun Shen

Keyword(s):

Brownian Motion ◽

Fractional Brownian Motion ◽

Higher Order ◽

Order Derivative ◽

Intersection Local Time ◽

Higher Order Derivative

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Existence, renormalization, and regularity properties of higher order derivatives of self-intersection local time of fractional Brownian motion

Stochastic Analysis and Applications ◽

10.1080/07362994.2021.1893189 ◽

2021 ◽

pp. 1-25

Author(s):

Kaustav Das ◽

Greg Markowsky

Keyword(s):

Brownian Motion ◽

Fractional Brownian Motion ◽

Higher Order ◽

Intersection Local Time ◽

Regularity Properties ◽

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Higher-Order Derivative of Intersection Local Time for Two Independent Fractional Brownian Motions

Journal of Theoretical Probability ◽

10.1007/s10959-017-0800-2 ◽

2017 ◽

Vol 32 (3) ◽

pp. 1190-1201 ◽

Author(s):

Jingjun Guo ◽

Yaozhong Hu ◽

Yanping Xiao

Keyword(s):

Higher Order ◽

Order Derivative ◽

Intersection Local Time ◽

Brownian Motions ◽

Fractional Brownian Motions ◽

Higher Order Derivative

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Asymptotic properties for q-th chaotic component of derivative of self-intersection local time of fractional Brownian motion

Journal of Mathematical Analysis and Applications ◽

10.1016/j.jmaa.2020.124477 ◽

2020 ◽

Vol 492 (2) ◽

pp. 124477

Author(s):

Qian Yu

Keyword(s):

Brownian Motion ◽

Fractional Brownian Motion ◽

Asymptotic Properties ◽

Intersection Local Time

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Renormalized self-intersection local time for fractional Brownian motion

The Annals of Probability ◽

10.1214/009117905000000017 ◽

2005 ◽

Vol 33 (3) ◽

pp. 948-983 ◽

Author(s):

Yaozhong Hu ◽

David Nualart

Keyword(s):

Brownian Motion ◽

Fractional Brownian Motion ◽

Intersection Local Time

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Asymptotic properties of the derivative of self-intersection local time of fractional Brownian motion

Stochastic Processes and their Applications ◽

10.1016/j.spa.2016.06.023 ◽

2017 ◽

Vol 127 (2) ◽

pp. 669-700 ◽

Author(s):

Arturo Jaramillo ◽

David Nualart

Keyword(s):

Brownian Motion ◽

Fractional Brownian Motion ◽

Asymptotic Properties ◽

Intersection Local Time

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

Stochastic Processes and their Applications ◽

10.1016/j.spa.2014.07.001 ◽

2014 ◽

Vol 124 (11) ◽

pp. 3846-3868 ◽

Author(s):

Paul Jung ◽

Greg Markowsky

Keyword(s):

Brownian Motion ◽

Fractional Brownian Motion ◽

Intersection Local Time ◽

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The intersection local time of fractional Brownian motion in the plane

Journal of Multivariate Analysis ◽

10.1016/0047-259x(87)90176-x ◽

1987 ◽

Vol 23 (1) ◽

pp. 37-46 ◽

Author(s):

Jay Rosen

Keyword(s):

Brownian Motion ◽

Fractional Brownian Motion ◽

Intersection Local Time

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Derivative for self-intersection local time of multidimensional fractional Brownian motion

Stochastics ◽

10.1080/17442508.2015.1019883 ◽

2015 ◽

Vol 87 (6) ◽

pp. 966-999 ◽

Author(s):

Litan Yan ◽

Xianye Yu

Keyword(s):

Brownian Motion ◽

Fractional Brownian Motion ◽

Intersection Local Time

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Regularity of renormalized self-intersection local time for fractional Brownian motion

Communications in Information and Systems ◽

10.4310/cis.2007.v7.n1.a2 ◽

2007 ◽

Vol 7 (1) ◽

pp. 21-30 ◽

Author(s):

Yaozhong Hu ◽

David Nualart

Keyword(s):

Brownian Motion ◽

Fractional Brownian Motion ◽

Intersection Local Time

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