Renormalized self-intersection local time for fractional Brownian motion
Hu, Yaozhong ; Nualart, David
Ann. Probab., Tome 33 (2005) no. 1, p. 948-983 / Harvested from Project Euclid
Let BtH be a d-dimensional fractional Brownian motion with Hurst parameter H∈(0,1). Assume d≥2. We prove that the renormalized self-intersection local time ¶ \[\ell=\int_{0}^{T}\int_{0}^{t}\delta(B_{t}^{H}-B_{s}^{H})\,ds\,dt-\mathbb{E}\biggl(\int_{0}^{T}\int_{0}^{t}\delta (B_{t}^{H}-B_{s}^{H})\,ds\,dt\biggr)\] ¶ exists in L2 if and only if H<3/(2d), which generalizes the Varadhan renormalization theorem to any dimension and with any Hurst parameter. Motivated by a result of Yor, we show that in the case $3/4>H\geq\frac{3}{2d}$ , r(ɛ)ℓɛ converges in distribution to a normal law N(0,Tσ2), as ɛ tends to zero, where ℓɛ is an approximation of ℓ, defined through (2), and r(ɛ)=|logɛ|−1 if H=3/(2d), and r(ɛ)=ɛd−3/(2H) if 3/(2d)
Publié le : 2005-05-14
Classification:  Fractional Brownian motion,  self-intersection local time,  Wiener chaos development,  renormalization,  central limit theorem,  60G15,  60G18,  60F05,  60F25,  60H30
@article{1115386715,
     author = {Hu, Yaozhong and Nualart, David},
     title = {Renormalized self-intersection local time for fractional Brownian motion},
     journal = {Ann. Probab.},
     volume = {33},
     number = {1},
     year = {2005},
     pages = { 948-983},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1115386715}
}
Hu, Yaozhong; Nualart, David. Renormalized self-intersection local time for fractional Brownian motion. Ann. Probab., Tome 33 (2005) no. 1, pp.  948-983. http://gdmltest.u-ga.fr/item/1115386715/