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Fractional Brownian motion
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Self-intersection local time
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Tanaka formula
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Wiener chaos
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Jung, Paul
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Markowsky, Greg
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Stochastic Processes and their Applications
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On the Tanaka formula for the derivative of
self-intersection
local
time
of fractional Brownian motion
Jung, Paul
;
Markowsky, Greg
- In:
Stochastic Processes and their Applications
124
(
2014
)
11
,
pp. 3846-3868
The derivative of
self-intersection
local
time
(DSLT) for Brownian motion was introduced by Rosen (2005) and …
Persistent link: https://www.econbiz.de/10011065021
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