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Derivative for the intersection local time of two independent fractional Brownian motions
Stochastics ( IF 0.9 ) Pub Date : 2021-08-12 , DOI: 10.1080/17442508.2021.1959584
Litan Yan 1 , Xichao Sun 2
Affiliation  

Let BH1 and B~H2 be two independent fractional Brownian motions with respective indices H1,H2(0,1) and H1H2. In this paper, we consider the derivative of their intersection local time (t,a). We show that the derivative exists in Lp for all p[1,+) and it is joint Hölder continuous in space and time if H1+H2>3H1H2. In particular, we show that (t,a) is differentiable in the spatial variable a under the condition, and we introduce the so-called hybrid fractional quadratic covariation [f(BH1B~H2),BH1](HC). When 0<H112, we construct a Banach space H of measurable functions such that the quadratic covariation exists in L2(Ω) and f(BH1B~H2),BH1]t(HC)=Rf(a)(t,da)for all fH. When H1>12 a similar result is proved to hold for all Hölder functions f of order ν>2H11H1.



中文翻译:

两个独立分数布朗运动的交点本地时间的导数

H1~H2是具有各自索引的两个独立分数布朗运动H1,H2(0,1)H1H2. 在本文中,我们考虑它们的交点本地时间的导数(,一种). 我们证明导数存在于大号p对全部p[1,+)并且它在空间和时间上是联合 Hölder 连续的,如果H1+H2>3H1H2. 特别是,我们表明(,一种)条件下空间变量a是可微的,我们引入所谓的混合分数二次协变 [F(H1-~H2),H1](HC). 什么时候0<H112, 我们构造一个 Banach 空间H的可测量函数,使得二次协变存在于大号2(Ω)F(H1-~H2),H1](HC)=-RF(一种)(,d一种)对全部FH. 什么时候H1>12类似的结果被证明对所有阶的 Hölder 函数f成立ν>2H1-1H1.

更新日期:2021-08-12
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