Joint Continuity of the Intersection Local Times of Markov Processes
Rosen, Jay
Ann. Probab., Tome 15 (1987) no. 4, p. 659-675 / Harvested from Project Euclid
We describe simple conditions on the transition density functions of two independent Markov processes $X$ and $Y$ which guarantee the existence of a continuous version for the intersection local time, formally given by $\alpha (z, H) = \int_H\int \delta_z (Y_t - X_s) ds dt$. In the analogous case of self-intersections $\alpha$ can be discontinuous at $z = 0$. We develop a Tanaka-like formula for $\alpha$ and use this to show that the singular part of $\alpha (z,\lbrack 0, T\rbrack^2)$ as $z \rightarrow 0$ is given by $2\int^T_0 U(X_t - z, X_t) dt, a.s.$, where $U$ is the 1-potential of $X$.
Publié le : 1987-04-14
Classification:  Markov processes,  intersection local time,  renormalization,  60J25,  60J55,  60J60
@article{1176992164,
     author = {Rosen, Jay},
     title = {Joint Continuity of the Intersection Local Times of Markov Processes},
     journal = {Ann. Probab.},
     volume = {15},
     number = {4},
     year = {1987},
     pages = { 659-675},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176992164}
}
Rosen, Jay. Joint Continuity of the Intersection Local Times of Markov Processes. Ann. Probab., Tome 15 (1987) no. 4, pp.  659-675. http://gdmltest.u-ga.fr/item/1176992164/