Regularity of intersection local times of fractional Brownian motions (Q616255): Difference between revisions

Let \(B^{\alpha_i}(s)\), \(s\in\mathbb R^{N_i}\), \(i=1,2\), be two independent fractional Brownian motions in \(\mathbb R^d\) with Hurst indices, \(\alpha_1,\alpha_2\in (0,1)\), respectively. The paper is devoted to the investigation of the regularity of the intersection local times \(L(x,E)\) of \(B^{\alpha_1}\) and \(B^{\alpha_2}\), as well as to the fractal properties of the sets of the intersection times and intersection points. The authors prove that the condition \(\frac{N_1}{\alpha_1}+\frac{N_2}{\alpha_2}>d\) is necessary and sufficient for the existence of the local time. Moreover, this condition implies that \(B^{\alpha_1}\) and \(B^{\alpha_2}\) have almost surely a continuous intersection local time on \(\mathbb R^{N_1+N_2}\). The proof essentially relies on the moment estimates for \(L(x,D)\), and on the Kolmogorov continuity theorem. Further, exponential integrability and Hölder conditions of local times are investigated. Finally, under \(\frac{N_1}{\alpha_1}+\frac{N_2}{\alpha_2}>d\), the Hausdorff and the packing dimensions of the set \[ D:=\{x\in\mathbb R^d,\;x=B^{\alpha_1}(s)=B^{\alpha_2}(t)\text{ for some }(t,s)\in\mathbb R^N\} \] are found, and appear to be equal.