Intersection local time for two independent fractional Brownian motions (Q2471118)

For two independent \(d\)-dimensional fractional Brownian motions \(B^1, B^2\) with Hurst parameter \(H\in(0,1)\) it is shown that, for \(d\geq 2\) the mutual intersection local time exists as \(L^2\)-limit \[ \lim_{\epsilon\downarrow 0} \int_0^T\int_0^T p_\epsilon(B_t^1-B_s^2)\, ds dt, \] where \(p_\epsilon\) is the Gaussian density with variance~\(\epsilon\), if and only if \(dH<2\).