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 Scopus citations

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 - Sep 2014

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

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