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Article: Integral representation of renormalized self-intersection local times
Title | Integral representation of renormalized self-intersection local times |
---|---|
Authors | |
Keywords | Clark-Ocone Formula Exponential Integrability Fractional Brownian Motion Local Nondeterminism Malliavin Calculus Self-Intersection Local Time |
Issue Date | 2008 |
Publisher | Academic Press. The Journal's web site is located at http://www.elsevier.com/locate/jfa |
Citation | Journal Of Functional Analysis, 2008, v. 255 n. 9, p. 2507-2532 How to Cite? |
Abstract | In this paper we apply Clark-Ocone formula to deduce an explicit integral representation for the renormalized self-intersection local time of the d-dimensional fractional Brownian motion with Hurst parameter H ∈ (0, 1). As a consequence, we derive the existence of some exponential moments for this random variable. |
Persistent Identifier | http://hdl.handle.net/10722/180464 |
ISSN | 2023 Impact Factor: 1.7 2023 SCImago Journal Rankings: 2.084 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Hu, Y | en_US |
dc.contributor.author | Nualart, D | en_US |
dc.contributor.author | Song, J | en_US |
dc.date.accessioned | 2013-01-28T01:38:29Z | - |
dc.date.available | 2013-01-28T01:38:29Z | - |
dc.date.issued | 2008 | en_US |
dc.identifier.citation | Journal Of Functional Analysis, 2008, v. 255 n. 9, p. 2507-2532 | en_US |
dc.identifier.issn | 0022-1236 | en_US |
dc.identifier.uri | http://hdl.handle.net/10722/180464 | - |
dc.description.abstract | In this paper we apply Clark-Ocone formula to deduce an explicit integral representation for the renormalized self-intersection local time of the d-dimensional fractional Brownian motion with Hurst parameter H ∈ (0, 1). As a consequence, we derive the existence of some exponential moments for this random variable. | en_US |
dc.language | eng | en_US |
dc.publisher | Academic Press. The Journal's web site is located at http://www.elsevier.com/locate/jfa | en_US |
dc.relation.ispartof | Journal of Functional Analysis | en_US |
dc.rights | This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License. | - |
dc.subject | Clark-Ocone Formula | en_US |
dc.subject | Exponential Integrability | en_US |
dc.subject | Fractional Brownian Motion | en_US |
dc.subject | Local Nondeterminism | en_US |
dc.subject | Malliavin Calculus | en_US |
dc.subject | Self-Intersection Local Time | en_US |
dc.title | Integral representation of renormalized self-intersection local times | en_US |
dc.type | Article | en_US |
dc.identifier.email | Song, J: txjsong@hku.hk | en_US |
dc.identifier.authority | Song, J=rp01700 | en_US |
dc.description.nature | postprint | en_US |
dc.identifier.doi | 10.1016/j.jfa.2008.06.016 | en_US |
dc.identifier.scopus | eid_2-s2.0-58049184961 | en_US |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-58049184961&selection=ref&src=s&origin=recordpage | en_US |
dc.identifier.volume | 255 | en_US |
dc.identifier.issue | 9 | en_US |
dc.identifier.spage | 2507 | en_US |
dc.identifier.epage | 2532 | en_US |
dc.identifier.isi | WOS:000261773400015 | - |
dc.publisher.place | United States | en_US |
dc.identifier.scopusauthorid | Hu, Y=7407117772 | en_US |
dc.identifier.scopusauthorid | Nualart, D=7004476842 | en_US |
dc.identifier.scopusauthorid | Song, J=55489918300 | en_US |
dc.identifier.issnl | 0022-1236 | - |