We develop explicit stochastic integral representations for the renormalized triple intersection local time of planar Brownian motion. Our representations involve a new type of double stochastic integral, the bilateral stochastic integral, which is developed in detail.
Publié le : 1991-01-14
Classification:
Brownian motion,
triple intersections,
local time,
stochastic integrals,
60J65,
60J55,
60H05
@article{1176990538,
author = {Rosen, Jay and Yor, Marc},
title = {Tanaka Formulae and Renormalization for Triple Intersections of Brownian Motion in the Plane},
journal = {Ann. Probab.},
volume = {19},
number = {4},
year = {1991},
pages = { 142-159},
language = {en},
url = {http://dml.mathdoc.fr/item/1176990538}
}
Rosen, Jay; Yor, Marc. Tanaka Formulae and Renormalization for Triple Intersections of Brownian Motion in the Plane. Ann. Probab., Tome 19 (1991) no. 4, pp. 142-159. http://gdmltest.u-ga.fr/item/1176990538/