On the existence of intersectional local time except on zero capacity set (Q801407)

Let \(X_{\tau}\) be the Ornstein-Uhlenbeck process on d-dimensional standard Wiener space W (d\(\geq 2)\). Define \[ \psi (\alpha,w)=[(d- \alpha)/4]\int^{1}_{0}\int^{1}_{0}| w(t)-w(s)|^{- \alpha}dsdt\quad (\alpha <2) \] and \(\psi_ n(w)=\psi (2-2^{-n},w)- 2^ n\). We have that \(\psi (\alpha,X_{\tau})\) is continuous in \(\tau\), and that \(\psi_ n(X_{\tau})\) is convergent uniformly in \(\tau\), thus its limit is continuous in \(\tau\). A subset of W has zero capacity if it is a polar set with respect to \(X_{\tau}\), where the capacity is the one induced by the Ornstein-Uhlenbeck operator on W. Thus these results imply the following: \(\psi\) (\(\alpha\),w) is finite quasi-everywhere, i.e. except on a set of zero capacity, and \(\psi_ n(w)\) converges quasi-everywhere. In case \(d=2\), this limit is formally expressd as (\(\pi\) /2)\(\int^{1}_{0}\int^{1}_{0}\delta (w(t)- w(s))dsdt-C\), where C is an infinite constant and \(\delta\) is the Dirac \(\delta\)-function.