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On the Self‐Intersection Local Time of Subfractional Brownian Motion

Author

Listed:
  • Junfeng Liu
  • Zhihang Peng
  • Donglei Tang
  • Yuquan Cang

Abstract

We study the problem of self‐intersection local time of d‐dimensional subfractional Brownian motion based on the property of chaotic representation and the white noise analysis.

Suggested Citation

  • Junfeng Liu & Zhihang Peng & Donglei Tang & Yuquan Cang, 2012. "On the Self‐Intersection Local Time of Subfractional Brownian Motion," Abstract and Applied Analysis, John Wiley & Sons, vol. 2012(1).
    • Handle: RePEc:wly:jnlaaa:v:2012:y:2012:i:1:n:414195
    DOI: 10.1155/2012/414195
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    References listed on IDEAS

    as
    1. Tudor, Constantin, 2008. "Inner product spaces of integrands associated to subfractional Brownian motion," Statistics & Probability Letters, Elsevier, vol. 78(14), pages 2201-2209, October.
    2. David Nualart & Salvador Ortiz-Latorre, 2007. "Intersection Local Time for Two Independent Fractional Brownian Motions," Journal of Theoretical Probability, Springer, vol. 20(4), pages 759-767, December.
    3. 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.
    4. Junfeng Liu & Litan Yan & Zhihang Peng & Deqing Wang, 2012. "Remarks on Confidence Intervals for Self‐Similarity Parameter of a Subfractional Brownian Motion," Abstract and Applied Analysis, John Wiley & Sons, vol. 2012(1).
    5. T. Bojdecki & L. G. Gorostiza & A. Talarczyk, 2004. "Fractional Brownian Density Process and Its Self-Intersection Local Time of Order k," Journal of Theoretical Probability, Springer, vol. 17(3), pages 717-739, July.
    Full references (including those not matched with items on IDEAS)

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