Fractional smoothness of derivative of self-intersection local times with respect to bi-fractional Brownian motion

摘要

Let B-Hi,B-Ki = {B-t(Hi,Ki), t >= 0}, i = 1, 2 be two independent bifractional Brownian motions with respective indices H-i is an element of(0, 1) and K-i is an element of(0, 1]. In this paper, we study the fractional smoothness of derivative of the local time and the self-intersection local time for a bifractional Brownian motion, and the collision local time for two independent bifractional Brownian motion. (C) 2020 Elsevier B.V. All rights reserved.