IDEAS home Printed from https://ideas.repec.org/a/eee/jmvana/v23y1987i1p37-46.html
   My bibliography  Save this article

The intersection local time of fractional Brownian motion in the plane

Author

Listed:
  • Rosen, Jay

Abstract

We show how to renormalize the intersection local time of fractional Brownian motion of index [beta] in the plane, when½

Suggested Citation

  • Rosen, Jay, 1987. "The intersection local time of fractional Brownian motion in the plane," Journal of Multivariate Analysis, Elsevier, vol. 23(1), pages 37-46, October.
    • Handle: RePEc:eee:jmvana:v:23:y:1987:i:1:p:37-46
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/0047-259X(87)90176-X
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Chen, Zhenlong & Wang, Jun & Wu, Dongsheng, 2020. "On intersections of independent space–time anisotropic Gaussian fields," Statistics & Probability Letters, Elsevier, vol. 166(C).
    2. Qian Yu, 2021. "Higher-Order Derivative of Self-Intersection Local Time for Fractional Brownian Motion," Journal of Theoretical Probability, Springer, vol. 34(4), pages 1749-1774, December.
    3. Bardet, Jean-Marc, 2002. "Bivariate occupation measure dimension of multidimensional processes," Stochastic Processes and their Applications, Elsevier, vol. 99(2), pages 323-348, June.
    4. Paul Jung & Greg Markowsky, 2015. "Hölder Continuity and Occupation-Time Formulas for fBm Self-Intersection Local Time and Its Derivative," Journal of Theoretical Probability, Springer, vol. 28(1), pages 299-312, March.
    5. Jaramillo, Arturo & Nualart, David, 2017. "Asymptotic properties of the derivative of self-intersection local time of fractional Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 127(2), pages 669-700.
    6. Yan, Litan & Shen, Guangjun, 2010. "On the collision local time of sub-fractional Brownian motions," Statistics & Probability Letters, Elsevier, vol. 80(5-6), pages 296-308, March.
    7. David Nualart & Salvador Ortiz-Latorre, 2007. "Intersection Local Time for Two Independent Fractional Brownian Motions," Journal of Theoretical Probability, Springer, vol. 20(4), pages 759-767, December.
    8. Jung, Paul & Markowsky, Greg, 2014. "On the Tanaka formula for the derivative of self-intersection local time of fractional Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 124(11), pages 3846-3868.
    9. Qian Yu & Xianye Yu, 2024. "Limit Theorem for Self-intersection Local Time Derivative of Multidimensional Fractional Brownian Motion," Journal of Theoretical Probability, Springer, vol. 37(3), pages 2054-2075, September.
    10. Dongsheng Wu & Yimin Xiao, 2010. "Regularity of Intersection Local Times of Fractional Brownian Motions," Journal of Theoretical Probability, Springer, vol. 23(4), pages 972-1001, December.
    11. Chen, Chao & Yan, Litan, 2011. "Remarks on the intersection local time of fractional Brownian motions," Statistics & Probability Letters, Elsevier, vol. 81(8), pages 1003-1012, August.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:23:y:1987:i:1:p:37-46. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.