Functional limit theorem for the self-intersection local time of the fractional Brownian motion (Q1731153)

Let \(B= \{B_t, t\geq 0\}\) be a \(d\)-dimensional fractional Brownian motion with Hurst parameter \(0<H<1\) where \(d\geq 2.\) (The authors indicate that it is sufficient that \(d\geq 2\) for the results to hold but some of the results obtained do not hold for \(d=2\) under the condition \(\frac{3}{2d}<H\leq \frac{3}{4}.\)) Consider the approximation of self-intersection local time of the process \(B\) given by \[I_T^\varepsilon= \int_0^T\int_0^Tp_\varepsilon(B_t-B_\varepsilon)dsdt\] where \[p_\varepsilon(x)= (2\pi\varepsilon)^{-d/2}\exp\{-\frac{1}{2\varepsilon}||x||^2\},x\in \mathbb R^d.\] The authors prove that the process \(\{I_T^\varepsilon- E(I_T^\varepsilon)\}\) converges weakly to a constant multiple of the standard Brownian motion for \(\frac{3}{2d}<H\leq \frac{3}{4}\) and to a multiple of a sum of independent Hermite processes for \(\frac{3}{4}<H<1\) on the space \(C[0,\infty)\) endowed with the topology of uniform convergence on compact sets. The techniques used to prove the convergence of the finite dimensional distributions and the tightness are different from the standard methods as expounded, for instance, in the book [\textit{P. Billingsley}, Convergence of probability measures. 2nd ed. Chichester: Wiley (1999; Zbl 0944.60003)].