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Fractional smoothness of derivative of self-intersection local times

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  • Shi, Qun
  • Yu, Xianye

Abstract

In this paper, we study the fractional smoothness of derivative of self-intersection local times with respect to Brownian motion and fractional Brownian motion, and also consider the case of intersection local times.

Suggested Citation

  • Shi, Qun & Yu, Xianye, 2017. "Fractional smoothness of derivative of self-intersection local times," Statistics & Probability Letters, Elsevier, vol. 129(C), pages 241-251.
    • Handle: RePEc:eee:stapro:v:129:y:2017:i:c:p:241-251
    DOI: 10.1016/j.spl.2017.06.007
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    References listed on IDEAS

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    1. Coutin, Laure & Nualart, David & Tudor, Ciprian A., 2001. "Tanaka formula for the fractional Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 94(2), pages 301-315, August.
    2. Imkeller, Peter & Perez-Abreu, Victor & Vives, Josep, 1995. "Chaos expansions of double intersection local time of Brownian motion in and renormalization," Stochastic Processes and their Applications, Elsevier, vol. 56(1), pages 1-34, March.
    3. Yan, Litan & Yu, Xianye & Chen, Ruqing, 2017. "Derivative of intersection local time of independent symmetric stable motions," Statistics & Probability Letters, Elsevier, vol. 121(C), pages 18-28.
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