Asymptotic properties of the derivative of self-intersection local time of fractional Brownian motion

Abstract

Let $\{B_t{\}}_{t\ge 0}$ be a fractional Brownian motion with Hurst parameter $\frac{2}{3}<H<1$. We prove that the approximation of the derivative of self-intersection local time, defined as \begin{align*} α_{\varepsilon} &= \int_{0}^{T}\int_{0}^{t}p'_{\varepsilon}(B_{t}-B_{s})\text{d}s\text{d}t, \end{align*} where $p_{\epsilon }(x)$ is the heat kernel, satisfies a central limit theorem when renormalized by ${\epsilon }^{\frac{3}{2}-\frac{1}{H}}$. We prove as well that for $q\ge 2$, the $q$-th chaotic component of ${\alpha }_{\epsilon }$ converges in $L^2$ when $\frac{2}{3}<H<\frac{3}{4}$, and satisfies a central limit theorem when renormalized by a multiplicative factor ${\epsilon }^{1-\frac{3}{4H}}$ in the case $\frac{3}{4}<H<\frac{4q-3}{4q-2}$.