Stochastics ( IF 0.9 ) Pub Date : 2021-08-12 , DOI: 10.1080/17442508.2021.1959584 Litan Yan 1 , Xichao Sun 2
Let and be two independent fractional Brownian motions with respective indices and . In this paper, we consider the derivative of their intersection local time . We show that the derivative exists in for all and it is joint Hölder continuous in space and time if . In particular, we show that is differentiable in the spatial variable a under the condition, and we introduce the so-called hybrid fractional quadratic covariation . When , we construct a Banach space of measurable functions such that the quadratic covariation exists in and for all . When a similar result is proved to hold for all Hölder functions f of order .
中文翻译:
两个独立分数布朗运动的交点本地时间的导数
让和是具有各自索引的两个独立分数布朗运动和. 在本文中,我们考虑它们的交点本地时间的导数. 我们证明导数存在于对全部并且它在空间和时间上是联合 Hölder 连续的,如果. 特别是,我们表明条件下空间变量a是可微的,我们引入所谓的混合分数二次协变 . 什么时候, 我们构造一个 Banach 空间的可测量函数,使得二次协变存在于和对全部. 什么时候类似的结果被证明对所有阶的 Hölder 函数f成立.