Intersection local times and Tanaka formulas (Q1322933)

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Intersection local times and Tanaka formulas
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    Intersection local times and Tanaka formulas (English)
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    24 October 1994
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    Double points of three-dimensional Brownian motion and \(k\)-multiple points of two-dimensional Brownian motion for every positive integer \(k\) are considered. Then a local time for these multiple points, that is, a functional that increases only at the times when Brownian motion has a multiple point, is constructed. A new approach to intersection local times (ILT) of Brownian motion is given by using additive functionals of a single Markov process and stochastic calculus. New results include the Tanaka formula for the \(k\)-multiple points of self-intersection local time. It is also proved that one can renormalize ILT for \(k\)-multiple points in terms of lower order ILTs in such a way that the renormalized ILT is jointly Hölder continuous in every variable almost surely for every \(k>1\).
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    renormalization
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    multiple points
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    double points
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    intersection local times
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    Brownian motion
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    additive functionals
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    Tanaka formula
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