The $\frac{4}{3}$-variation of the derivative of the self-intersection Brownian local time and related processes

Abstract

In this paper we compute the $\frac{4}{3}$-variation of the derivative of the self-intersection Brownian local time ${\gamma }_t={\int }_0^t{\int }_0^u{\delta }^{\prime }(B_u-B_s)dsdu,t\ge 0$, applying techniques from the theory of fractional martingales.

19 pages

Cited by in corpus (1)

• On the Tanaka formula for the derivative of self-intersection local time of fBm