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Existence, renormalization, and regularity properties of higher order derivatives of self-intersection local time of fractional Brownian motion (2011.13627v3)
Published 27 Nov 2020 in math.PR
Abstract: In a paper by Yu (arXiv:2008.05633, 2020), higher order derivatives of self-intersection local time of fractional Brownian motion were defined, and existence over certain regions of the Hurst parameter $H$ was proved. Utilizing the Wiener chaos expansion, we provide new proofs of Yu's results, and show how a Varadhan-type renormalization can be used to extend the range of convergence for the even derivatives.