On the exponential integrability of the derivative of intersection and self-intersection local time for Brownian motion and related processes
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DOI: 10.1016/j.spa.2025.104592
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- 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.
- Qian Yu & Qiangqiang Chang & Guangjun Shen, 2023. "Smoothness of higher order derivative of self-intersection local time for fractional Brownian motion," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 52(10), pages 3541-3556, May.
- 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.
- Hong, Minhao & Xu, Fangjun, 2021. "Derivatives of local times for some Gaussian fields II," Statistics & Probability Letters, Elsevier, vol. 172(C).
- Jingjun Guo & Cuiyun Zhang & Aiqin Ma, 2024. "Derivative of Multiple Self-intersection Local Time for Fractional Brownian Motion," Journal of Theoretical Probability, Springer, vol. 37(1), pages 623-641, March.
- 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.
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Keywords
Brownian motion; Local time; Self-intersection local time; Derivatives of self-intersection local time; Fractional Brownian motion; Exponential integrability;All these keywords.
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