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Renormalization and convergence in law for the derivative of intersection local time in

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  • Markowsky, Greg

Abstract

In this paper we will examine the derivative of intersection local time of Brownian motion and symmetric stable processes in . These processes do  not exist when defined in the canonical way. The purpose of this paper is to exhibit the correct rate for renormalization of these processes.

Suggested Citation

  • Markowsky, Greg, 2008. "Renormalization and convergence in law for the derivative of intersection local time in," Stochastic Processes and their Applications, Elsevier, vol. 118(9), pages 1552-1585, September.
    • Handle: RePEc:eee:spapps:v:118:y:2008:i:9:p:1552-1585
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    Cited by:

    1. Qian Yu, 2021. "Higher-Order Derivative of Self-Intersection Local Time for Fractional Brownian Motion," Journal of Theoretical Probability, Springer, vol. 34(4), pages 1749-1774, December.
    2. Paul Jung & Greg Markowsky, 2015. "Hölder Continuity and Occupation-Time Formulas for fBm Self-Intersection Local Time and Its Derivative," Journal of Theoretical Probability, Springer, vol. 28(1), pages 299-312, March.
    3. Jung, Paul & Markowsky, Greg, 2014. "On the Tanaka formula for the derivative of self-intersection local time of fractional Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 124(11), pages 3846-3868.

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