Holder continuity and occupation-time formulas for fBm self-intersection local time and its derivative

Paul Jung; Greg Markowsky

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arXiv · 1208.4407

Holder continuity and occupation-time formulas for fBm self-intersection local time and its derivative

Paul Jung·Greg Markowsky

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Abstract

We prove joint Holder continuity and an occupation-time formula for the self-intersection local time of fractional Brownian motion. Motivated by an occupation-time formula, we also introduce a new version of the derivative of self-intersection local time for fractional Brownian motion and prove Holder conditions for this process. This process is related to a different version of the derivative of self-intersection local time studied by the authors in a previous work.

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Paul Jung, Greg Markowsky. 2012-08-22. Holder continuity and occupation-time formulas for fBm self-intersection local time and its derivative. https://arxiv.org/abs/1208.4407

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