Unrenormalized intersection local time of Brownian motion and its local time representation (Q1890380): Difference between revisions

The author gives a new approach to recognise intersection local times of Brownian motions (dimension \(\geq 2\)) without renormalisation. Roughly speaking, the intersection local time is given by \[ \gamma(T) = \int_0^T\int_0^t \delta_0(B_t-B_s)\,ds\,dt - \mathbf E\left[\int_0^T\int_0^t \delta_0(B_t-B_s)\,ds\,dt\right]. \] To make sense of this expression, it is necessary to approximate \(\delta_0\) by sequences of smooth functions of type \(\delta\) and to understand \(\gamma(T)\) as limit in a suitable (Sobolev) function space. For planar Brownian motion this is well-known in \(L^2\) [cf.\ \textit{J.-F. Le Gall}, in: Sémin. de probabilités XIX. Lect. Notes Math. 1123, 314--331 (1985; Zbl 0563.60072)] and in the Watanabe-Sobolev space \(D_2^s\) [cf.\ \textit{D. Nualart} and \textit{J. Vives}, Publ. Mat., Barc. 36, No. 2B, 827--836 (1992; Zbl 0787.60060)] while for dimensions \(N\geq 3\) the \(D_2^s\) limit exists only under suitable renormalisations. The author constructs (using the Wiener chaos representation) suitable weighted Watanabe-Sobolev spaces so that the approximation holds in these spaces and \(\gamma(T)\) turns out to be an element of these spaces. The author then clarifies the meaning of \(\Phi(F) = \int_{\mathbb R^n} \Phi(x)\diamond\delta_x(F)\,dx\) for a generalized Wiener functional \((\Phi(x))_{x\in\mathbb R^n}\) and a non-degenerate (in Malliavin's sense) Wiener functional \(F\) by using the Wiener product \(\diamond\). Interpreting Brownian local time \(L(t,x) = ``\int_0^t \delta_x(B_s)\,ds\)'' as a generalized Wiener functional, the author then proves that one has \(\gamma(T) = \int_0^T L^{(1)}(t-,B_t)\,dt \) where \(L^{(1)}\) is given by a chaos expansion; on a formal level it is given by \(``\int_0^t \delta_x(B_s)\,ds - \mathbf E \int_0^t \delta_x(B_s)\,ds\)''.