Renormalized self-intersection local time for fractional Brownian motion (Q1781172): Difference between revisions

Let \(B_t^H\) be a \(d\)-dimensional fractional Brownian motion with Hurst parameter \(H\in (0,1)\), where \(d\geq 2\). Denote the approximated self-intersection local time by \[ I_\varepsilon=\int_0^T \int_0^t p_\varepsilon(B_t^H-B_s^H)\,ds\,dt, \] where \(p_\varepsilon(x)=(2\pi \varepsilon)^{-d/2} \exp\{-| x| ^2/(2\varepsilon)\}\) is the heat kernel approximating the Dirac delta function \(\delta(x)\). If \(I_\varepsilon -E(I_\varepsilon)\) converges in \(L^2\) as \(\varepsilon \to 0\), the limit is called the renormalized self-intersection local time. The first main result of the paper says that the renormalized self-intersection local time exists if and only if \(H<3/2d\), which is a generalization of results by \textit{S.~R.~S.~Varadhan} [Appendix to K.~Symanzik, Euclidean quantum field theory. In: Local quantum theory, Academic Press, New York (1969)] (\(d=2\) and \(H=1/2\)) and \textit{J.~Rosen} [J. Multivariate Anal. 23, 37--46 (1987; Zbl 0633.60057)] (\(d=2\) and \(1/2<H<3/4\)). If \(3/2d\leq H < 3/4\), the second main theorem states that \(r(\varepsilon)(I_\varepsilon-E(I_\varepsilon))\) converges in distribution to a normal law \(N(0,T\sigma^2)\), as \(\varepsilon\to 0\), where \(r(\varepsilon)=(\log(1/\varepsilon))^{-1/2}\) if \(H=3/2d\), and \(r(\varepsilon)=\varepsilon^{d/2-3/4H}\) if \(H>3/2d\). For classical Brownian motion and \(d\geq 3\), similar results with a different approximation were obtained by \textit{M.~Yor} [in: Séminaire de probabilités XIX. Lect. Notes Math. 1123, 350--365 (1985; Zbl 0569.60075)] and \textit{J.~Y.~Calais} and \textit{M.~Yor} [in: Séminaire de probabilités XXI. Lect. Notes Math. 1247, 375--403 (1987; Zbl 0624.60067)]. The proof is based on a general central limit theorem for nonlinear functional of a Gaussian process, based on the Wiener chaos expansion, which is of its own interest.