Work

On the exponential integrability of the derivative of intersection and self-intersection local time for Brownian motion and related processes

Year: 2025

Type: article

Abstract: We show that the derivative of the intersection and self-intersection local times of alpha-stable processes are exponentially integrable for certain parameter values. This includes the Brownian motion case. We also discuss related results present in the literature for fractional Brownian motion, and in particular give a counter-example to a result in Guo et al. (2019) related to this question.

Source: Stochastic Processes and their Applications

DOI: 10.1016/j.spa.2025.104592

Authors: Kaustav Das, Gregory Markowsky, Binghao Wu

Institution: Monash University

Language: English

Topic: Stochastic processes and statistical mechanics

Subfield: Mathematical Physics

Field: Mathematics

Domain: Physical Sciences

Open Access status: hybrid

Estimated APC paid: $3,520

Funder: Australian Research Council