The 4/3-Variation of the Derivative of the Self-intersection Brownian Local Time and Related Processes

Yaozhong Hu, David Nualart, Jian Song

Research output: Contribution to journalArticle

2 Citations (Scopus)

Abstract

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).

Original languageEnglish (US)
Pages (from-to)789-825
Number of pages37
JournalJournal of Theoretical Probability
Volume27
Issue number3
DOIs
StatePublished - Jan 1 2014

Fingerprint

Self-intersection
Local Time
Martingale
Fractional
Derivative
Derivatives
Brownian local time

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Mathematics(all)
  • Statistics, Probability and Uncertainty

Keywords

  • Derivative of self-intersection local time
  • Fractional martingale
  • Self-intersection local time
  • β-Variation

Cite this

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The 4/3-Variation of the Derivative of the Self-intersection Brownian Local Time and Related Processes. / Hu, Yaozhong; Nualart, David; Song, Jian.

In: Journal of Theoretical Probability, Vol. 27, No. 3, 01.01.2014, p. 789-825.

Research output: Contribution to journalArticle

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KW - β-Variation

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