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On the Tanaka formula for the derivative of self-intersection local time of fractional Brownian motion

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  • Jung, Paul
  • Markowsky, Greg

Abstract

The derivative of self-intersection local time (DSLT) for Brownian motion was introduced by Rosen (2005) and subsequently used by others to study the L2 and L3 moduli of continuity of Brownian local time. A version of the DSLT for fractional Brownian motion (fBm) was introduced in Yan et al. (2008); however, the definition given there presents difficulties, since it is motivated by an incorrect application of the fractional Itô formula. To rectify this, we introduce a modified DSLT for fBm and prove existence using an explicit Wiener chaos expansion. We will then argue that our modification is the natural version of the DSLT by rigorously proving the corresponding Tanaka formula. This formula corrects a formal identity given in both Rosen (2005) and Yan et al. (2008). In the course of this endeavor we prove a Fubini theorem for integrals with respect to fBm. The Fubini theorem may be of independent interest, as it generalizes (to Hida distributions) similar results previously seen in the literature. As a further byproduct of our investigation, we also provide a small correction to an important technical second-moment bound for fBm which has appeared in the literature many times.

Suggested Citation

  • 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.
    • Handle: RePEc:eee:spapps:v:124:y:2014:i:11:p:3846-3868
    DOI: 10.1016/j.spa.2014.07.001
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    References listed on IDEAS

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    1. Robert J. Elliott & John Van Der Hoek, 2003. "A General Fractional White Noise Theory And Applications To Finance," Mathematical Finance, Wiley Blackwell, vol. 13(2), pages 301-330, April.
    2. 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.
    3. Yan, Litan & Yang, Xiangfeng & Lu, Yunsheng, 2008. "p-variation of an integral functional driven by fractional Brownian motion," Statistics & Probability Letters, Elsevier, vol. 78(9), pages 1148-1157, July.
    4. Rosen, Jay, 1987. "The intersection local time of fractional Brownian motion in the plane," Journal of Multivariate Analysis, Elsevier, vol. 23(1), pages 37-46, October.
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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. Yan, Litan & Yu, Xianye & Chen, Ruqing, 2017. "Derivative of intersection local time of independent symmetric stable motions," Statistics & Probability Letters, Elsevier, vol. 121(C), pages 18-28.
    3. Jingjun Guo & Yaozhong Hu & Yanping Xiao, 2019. "Higher-Order Derivative of Intersection Local Time for Two Independent Fractional Brownian Motions," Journal of Theoretical Probability, Springer, vol. 32(3), pages 1190-1201, September.
    4. Jaramillo, Arturo & Nualart, David, 2017. "Asymptotic properties of the derivative of self-intersection local time of fractional Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 127(2), pages 669-700.

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