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Limit Theorem for Self-intersection Local Time Derivative of Multidimensional Fractional Brownian Motion

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Listed:
  • Qian Yu

    (Nanjing University of Aeronautics and Astronautics)

  • Xianye Yu

    (Zhejiang Gongshang University)

Abstract

The existence condition $$H

Suggested Citation

  • 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.
    • Handle: RePEc:spr:jotpro:v:37:y:2024:i:3:d:10.1007_s10959-023-01300-6
    DOI: 10.1007/s10959-023-01300-6
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    References listed on IDEAS

    as
    1. Jingjun Guo & Yaozhong Hu & Yanping Xiao, 2019. "Higher-Order Derivative of Intersection Local Time for Two Independent Fractional Brownian Motions," Journal of Theoretical Probability, Springer, vol. 32(3), pages 1190-1201, September.
    2. 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.
    3. 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.
    4. 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.
    5. 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.
    6. 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.
    7. Markowsky, Greg, 2008. "Renormalization and convergence in law for the derivative of intersection local time in," Stochastic Processes and their Applications, Elsevier, vol. 118(9), pages 1552-1585, September.
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