In this paper, we compute the 4/3-variation of the derivative of the self-intersection Brownian local time by applying techniques from the theory of fractional martingales (Hu et al. in Ann Probab 37:2404-2430, 2009).
All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Statistics, Probability and Uncertainty
- Derivative of self-intersection local time
- Fractional martingale
- Self-intersection local time