Derivative of Multiple Self-intersection Local Time for Fractional Brownian Motion

Jingjun Guo (), Cuiyun Zhang () and Aiqin Ma ()
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Jingjun Guo: Lanzhou University of Finance and Economics
Cuiyun Zhang: Lanzhou University of Finance and Economics
Aiqin Ma: Lanzhou University of Finance and Economics

Journal of Theoretical Probability, 2024, vol. 37, issue 1, 623-641

Abstract: Abstract We consider existence and the Hölder continuity condition in the spatial variable for the derivative of multiple self-intersection local time for fractional Brownian motion. Moreover, under the existence condition, we study its smoothness in the sense of Meyer–Watanabe.

Keywords: Self-intersection local time; Existence; Hölder continuity; Smoothness; 60F25; 60G22; 60J55 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s10959-023-01265-6

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