Smoothness of self-intersection local time of multidimensional fractional Brownian motion
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DOI: 10.1080/03610926.2018.1493508
Abstract: Abstract In this paper, we study the existence, Hölder continuity and fractional smoothness of the self-intersection local time with respect to fractional Brownian motion:where BH is a d-dimensional fractional Brownian motion with Hurst index .… read more here.
Keywords: local time; brownian motion; intersection local; fractional brownian ... See more keywords