Self-intersection local time of fractional Brownian motions -- via chaos expansion

DOI10.1215/KJM/1250517630zbMath1008.60091OpenAlexW1594313828MaRDI QIDQ1612773

Yaozhong Hu

Publication date: 28 March 2003

Published in: Journal of Mathematics of Kyoto University (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1215/kjm/1250517630

zbMATH Keywords

fractional Brownian motionchaos expansionself-intersection local timelocal nondeterminism property

Mathematics Subject Classification ID

Brownian motion (60J65) Stochastic calculus of variations and the Malliavin calculus (60H07) Local time and additive functionals (60J55)

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