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arxiv: 1208.4407 · v1 · pith:R6AQCRGCnew · submitted 2012-08-22 · 🧮 math.PR

Holder continuity and occupation-time formulas for fBm self-intersection local time and its derivative

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keywords localself-intersectiontimederivativeholderoccupation-timebrowniancontinuity
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We prove joint Holder continuity and an occupation-time formula for the self-intersection local time of fractional Brownian motion. Motivated by an occupation-time formula, we also introduce a new version of the derivative of self-intersection local time for fractional Brownian motion and prove Holder conditions for this process. This process is related to a different version of the derivative of self-intersection local time studied by the authors in a previous work.

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