Projects per year
Abstract
We prove joint Holder continuity and an occupation-time formula for the self-intersection local time of fractional Brownian motion. Motivated by an occupation-time formula, we also introduce a new version of the derivative of self-intersection local time for fractional Brownian motion and prove Holder conditions for this process. This process is related to a different version of the derivative of self-intersection local time studied by the authors in a previous work.
Original language | English |
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Pages (from-to) | 299-312 |
Number of pages | 14 |
Journal | Journal of Theoretical Probability |
Volume | 28 |
Issue number | 1 |
DOIs | |
Publication status | Published - 2015 |
Keywords
- Intersection local time
- Fractional Brownian motion
- Occupation-time formula
Projects
- 1 Finished
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New Stochastic Processes with Applications in Finance
Klebaner, F., Buchmann, B. & Hamza, K.
Australian Research Council (ARC), Monash University
31/07/09 → 31/12/13
Project: Research