Self-intersection local time of fractional Brownian motions-via chaos expansion
Hu, Yaozhong
J. Math. Kyoto Univ., Tome 41 (2001) no. 4, p. 233-250 / Harvested from Project Euclid
Let $B_{1,t}^{H},\ldots ,B_{d,t}^{H}$ be $d$ independent fractional Brownian motions with Hurst parameter $H\in (0, 1)$. Denote $X_{t}=(B_{1,t}^{H},\ldots ,B_{d,t}^{H})$ and let $\delta$ be the Dirac delta function. It is shown that when $H< \mathrm{min}(3/(2d), 2/(d+2))$, the (renormalized) self-intersection local time of fractional Brownian motion, $\int _{0}^{T}\int _{0}^{t}\delta (X_{t}-X_{s})dsdt-\mathbb{E}\int _{0}^{T}\int _{0}^{t}\delta (X_{t}-X_{s})dsdt$, is in $D_{1,2}$, where $D_{1,2}$ is the Meyer-Watanabe test functional space, i.e. the $L^{2}$ space of “differentiable” functionals, whose precise meaning is given in Section 2.
Publié le : 2001-05-15
Classification:  60G18,  60G15,  60G17
@article{1250517630,
     author = {Hu, Yaozhong},
     title = {Self-intersection local time of fractional Brownian motions-via chaos expansion},
     journal = {J. Math. Kyoto Univ.},
     volume = {41},
     number = {4},
     year = {2001},
     pages = { 233-250},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1250517630}
}
Hu, Yaozhong. Self-intersection local time of fractional Brownian motions-via chaos expansion. J. Math. Kyoto Univ., Tome 41 (2001) no. 4, pp.  233-250. http://gdmltest.u-ga.fr/item/1250517630/