The intersection local time of fractional Brownian motion in the plane (Q1096249)
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English | The intersection local time of fractional Brownian motion in the plane |
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The intersection local time of fractional Brownian motion in the plane (English)
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1987
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Let \(X=(X_ t\), \(t\geq 0)\) be a fractional Brownian motion of index \(\beta\) in the plane. The case \(\beta =\) corresponds to the usual planar Brownian motion. For \(1/2<\beta <3/4\), the author proves the existence of a renormalized self-intersection local time of the process X, thus generalizing a result due to \textit{S. R. S. Varadhan} [Appendix to K. Symanzik, Euclidean quantum field theory. in R. Jost (ed.), Local quantum theory, Academic Press, New York (1969)] in the case \(\beta =\). The proofs rely on direct computations using in an essential way the fact that X is a Gaussian process.
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fractional Brownian motion
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renormalized self-intersection local time
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