Higher-order derivative of local times for space–time anisotropic Gaussian random fields

Abstract

Let X={X(t),t∈RN} be a centered space–time anisotropic Gaussian random field values in Rd. Under some general conditions, the existence and smoothness (in the sense of Meyer-Watanabe) of the higher-order derivative of the local times of X(t) are studied. Moreover, we show that the derivatives of the local time of X(t) is jointly continuous on Rd×[0,1]N. The existing results on local times of fractional Brownian motion and other Gaussian random fields are extended to higher-order derivative of local times of more general space–time anisotropic Gaussian random fields.