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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. 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.
    2. 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.
    3. 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.
    4. 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.
    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. 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.
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