The $$\frac{4}{3}$$ -Variation of the Derivative of the Self-intersection Brownian Local Time and Related Processes

Yaozhong Hu, David Nualart and Jian Song ()
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Yaozhong Hu: University of Kansas
David Nualart: University of Kansas
Jian Song: Rutgers University

Journal of Theoretical Probability, 2014, vol. 27, issue 3, 789-825

Abstract: Abstract In this paper, we compute the $$\frac{4}{3}$$ -variation of the derivative of the self-intersection Brownian local time by applying techniques from the theory of fractional martingales (Hu et al. in Ann Probab 37:2404–2430, 2009).

Keywords: $$\beta $$ -Variation; Self-intersection local time; Derivative of self-intersection local time; Fractional martingale; 60J65; 60J55; 60A10; 60G22 (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1007/s10959-012-0469-5

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