Holder Continuity and Occupation-Time Formulas for fBm Self-Intersection Local Time and Its Derivative

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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.
Publisher
SPRINGER/PLENUM PUBLISHERS
Issue Date
2015-03
Language
English
Article Type
Article
Citation

JOURNAL OF THEORETICAL PROBABILITY, v.28, no.1, pp.299 - 312

ISSN
0894-9840
DOI
10.1007/s10959-012-0474-8
URI
http://hdl.handle.net/10203/213189
Appears in Collection
MA-Journal Papers(저널논문)
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