Holder continuity and occupation-time formulas for fBm self-intersection local time and its derivative
Probability
2012-08-23 v1
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.
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Cite
@article{arxiv.1208.4407,
title = {Holder continuity and occupation-time formulas for fBm self-intersection local time and its derivative},
author = {Paul Jung and Greg Markowsky},
journal= {arXiv preprint arXiv:1208.4407},
year = {2012}
}
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