Derivative for self-intersection local time of multidimensional fractional Brownian motion

IF 0.8 4区数学 Q3 MATHEMATICS, APPLIED

Stochastics-An International Journal of Probability and Stochastic Processes Pub Date : 2015-05-12 DOI:10.1080/17442508.2015.1019883

Litan Yan, Xianye Yu

引用次数: 18

Abstract

Let be a fractional Brownian motion taking values in with Hurst index . In this paper, we consider the self-intersection local time and its derivative in the spatial variable . In particular, we introduce the so-called integrated quadratic covariation and show that the Bouleau-Yor type identityholds for some suitable .

查看原文本刊更多论文

多维分数布朗运动自交局部时间的导数

设一个分数布朗运动，取赫斯特指数的值。本文考虑自交局部时间及其在空间变量上的导数。特别地，我们引入了所谓的积分二次共变，并证明了对于一些合适的函数，Bouleau-Yor型恒等式成立。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Stochastics-An International Journal of Probability and Stochastic Processes MATHEMATICS, APPLIED-STATISTICS & PROBABILITY

CiteScore

1.90

自引率

0.00%

发文量

审稿时长

>12 weeks

期刊介绍： Stochastics: An International Journal of Probability and Stochastic Processes is a world-leading journal publishing research concerned with stochastic processes and their applications in the modelling, analysis and optimization of stochastic systems, i.e. processes characterized both by temporal or spatial evolution and by the presence of random effects. Articles are published dealing with all aspects of stochastic systems analysis, characterization problems, stochastic modelling and identification, optimization, filtering and control and with related questions in the theory of stochastic processes. The journal also solicits papers dealing with significant applications of stochastic process theory to problems in engineering systems, the physical and life sciences, economics and other areas. Proposals for special issues in cutting-edge areas are welcome and should be directed to the Editor-in-Chief who will review accordingly. In recent years there has been a growing interaction between current research in probability theory and problems in stochastic systems. The objective of Stochastics is to encourage this trend, promoting an awareness of the latest theoretical developments on the one hand and of mathematical problems arising in applications on the other.