Self-intersection local time of fractional Brownian motions -- via chaos expansion (Q1612773)

The article is devoted to the fractional Brownian motion \(X\) in \(R^d,\) which is defined as \(d\) one-dimensional independent fractional Brownian motions with the Hurst parameter \(H\in (0,1).\) The main object is the renormalized self-intersection local time \(\int_0^T\delta (X_t-X_s) ds dt- E\int_0^T\delta (X_t-X_s) ds dt\). The author proves, that under the condition \(H<\min(3/(2d),2/(d+2))\) the renormalized local time lies in the space \(D_{1,2}\) of smooth Gaussian functionals. This result is obtained via using the estimation of the norm in \(D_{1,2}\) for the random variable \(F\) by the derivative \(d/du(\|\Gamma (\sqrt{u})F\|)\). Here \(\Gamma\) is the operator of the second quantization. The author gives conditions for the convergence in \(D_{1,2}\) of the random variables \(\int_0^T P_\varepsilon (X_t-X_s) ds dt- E\int_0^T P_\varepsilon (X_t-X_s) ds dt\). Here \(P_\varepsilon \) is the Gaussian density, which approximates the delta-function. The proof of convergence uses the local nondeterminism property of the fractional Brownian motion.