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arXiv · 1706.06980

Higher-order derivative of intersection local time for two independent fractional Brownian motions

Jingjun Guo·Yaozhong Hu·Yanping Xiao
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Abstract

In this article, we obtain sharp conditions for the existence of the high order derivatives ($k$-th order) of intersection local time $ \widehat{\alpha}^{(k)}(0)$ of two independent d-dimensional fractional Brownian motions $B^{H_1}_t$ and $\widetilde{B}^{H_2}_s$ with Hurst parameters $H_1$ and $H_2$, respectively. We also study their exponential integrability.

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Jingjun Guo, Yaozhong Hu, Yanping Xiao. 2017-06-21. Higher-order derivative of intersection local time for two independent fractional Brownian motions. https://arxiv.org/abs/1706.06980

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