Derivative of intersection local time of independent symmetric stable motions

Litan Yan, Xianye Yu and Ruqing Chen

Statistics & Probability Letters, 2017, vol. 121, issue C, 18-28

Abstract: Let X and X̃ be two mutually independent symmetric stable motions in R1 with respective indices α and α̃. We show that the intersection local time βt(x) of X and X̃ is differentiable in the spatial variable if α+α̃>3, and moreover we have that the p-variation of the derivative βt′(0) is zero when p>2α∨α̃α∨α̃+α+α̃−3.

Keywords: Symmetric stable process; Intersection local time; p-variation (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1016/j.spl.2016.10.008

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