On the exponential integrability of the derivative of intersection and self-intersection local time for fractional Brownian motion and a limit theorem related to the self-intersection local time for fractional Brownian motion

Kaustav Das, Gregory Markowsky, Binghao Wu +1

We give the correct condition for existence of the $k$-th derivative of the intersection local time for fractional Brownian motion, which was originally discussed in [Guo, J., Hu,…