Higher-Order Derivative of Intersection Local Time for Two Independent Fractional Brownian Motions

doi:10.1007/s10959-017-0800-2

	Higher-Order Derivative of Intersection Local Time for Two Independent Fractional Brownian Motions
	Guo, Jingjun; Hu, Yaozhong ; Xiao, Yanping
	2019-09
发表期刊	JOURNAL OF THEORETICAL PROBABILITY
卷号	32 期号:3 页码:1190-1201
摘要	In this article, we obtain sharp conditions for the existence of the high-order derivatives (k-th order) of intersection local time (alpha) over cap ((k)) (0) of two independent d-dimensional fractional Brownian motions B-t(H1) and (B) over tilde (H2)(s) of Hurst parameters H-1 and H-2, respectively. We also study their exponential integrability.
关键词	Fractional Brownian motion Intersection local time k-th derivative of intersection local time Exponential integrability
DOI	10.1007/s10959-017-0800-2
收录类别	SCI ; SCOPUS ; SCIE
ISSN	0894-9840
语种	英语
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000476509700004
出版者	SPRINGER/PLENUM PUBLISHERS
原始文献类型	Article
EISSN	1572-9230
引用统计	被引频次：15[WOS] [WOS记录] [WOS相关记录]
文献类型	期刊论文
条目标识符	http://ir.lzufe.edu.cn/handle/39EH0E1M/10561
专题	统计与数据科学学院
作者单位	1.Lanzhou Univ Finance & Econ, Sch Stat, Lanzhou 730020, Gansu, Peoples R China; 2.Univ Alberta, Dept Math & Stat Sci, Edmonton, AB T6G 2G1, Canada; 3.Northwest Minzu Univ, Sch Math & Comp Sci, Lanzhou 730000, Gansu, Peoples R China
推荐引用方式 GB/T 7714	Guo, Jingjun,Hu, Yaozhong,Xiao, Yanping. Higher-Order Derivative of Intersection Local Time for Two Independent Fractional Brownian Motions[J]. JOURNAL OF THEORETICAL PROBABILITY,2019,32(3):1190-1201.
APA	Guo, Jingjun,Hu, Yaozhong,&Xiao, Yanping.(2019).Higher-Order Derivative of Intersection Local Time for Two Independent Fractional Brownian Motions.JOURNAL OF THEORETICAL PROBABILITY,32(3),1190-1201.
MLA	Guo, Jingjun,et al."Higher-Order Derivative of Intersection Local Time for Two Independent Fractional Brownian Motions".JOURNAL OF THEORETICAL PROBABILITY 32.3(2019):1190-1201.

条目包含的文件
文件名称/大小	文献类型	版本类型	开放类型	使用许可
15473.pdf（383KB）	期刊论文	出版稿	暂不开放	CC BY-NC-SA	请求全文