On the exponential integrability of the derivative of intersection and self-intersection local time for Brownian motion and related processes

IF 1.1 2区数学 Q3 STATISTICS & PROBABILITY

Stochastic Processes and their Applications Pub Date : 2025-02-06 DOI:10.1016/j.spa.2025.104592

Kaustav Das , Gregory Markowsky , Binghao Wu

引用次数: 0

Abstract

We show that the derivative of the intersection and self-intersection local times of alpha-stable processes are exponentially integrable for certain parameter values. This includes the Brownian motion case. We also discuss related results present in the literature for fractional Brownian motion, and in particular give a counter-example to a result in Guo et al. (2019) related to this question.

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来源期刊

Stochastic Processes and their Applications 数学-统计学与概率论

CiteScore

2.90

自引率

7.10%

发文量

180

审稿时长

23.6 weeks

期刊介绍： Stochastic Processes and their Applications publishes papers on the theory and applications of stochastic processes. It is concerned with concepts and techniques, and is oriented towards a broad spectrum of mathematical, scientific and engineering interests. Characterization, structural properties, inference and control of stochastic processes are covered. The journal is exacting and scholarly in its standards. Every effort is made to promote innovation, vitality, and communication between disciplines. All papers are refereed.