On the linear fractional self-attracting diffusion (Q927251)

Let \((\Omega, \mathcal{F},\mu)\) be a complete probability space with a fractional Brownian motion \((B_t^H)_{t\geq 0}\) on it. The paper is devoted to the convergence and the properties of the local time of the processes \[ X_t^H =B_t^H -a \int_0^t \int_0^t (X_s^H -X_u^H) du\, ds+\nu t, \] where \(a>0\), \(\nu\in \mathbb{R}\), \(H\in (1/2, 1)\). It is proved that \(X_t^H\) converges in \(L_2(\mu)\) and a.s., and the limit expression is found. For \(\nu=0\) the process \(X_t^H\) has continuous local time \(\mathcal{L}_t^x\), \(t\geq 0\), \(x\in\mathbb{R}\), such that \(\mathcal{L}_t^H=\int_0^t \delta(X_s^H-x)\, ds\), where \(\delta(\cdot)\) is the delta function. Further, the weighted local time is defined \(L_t^H\), and it is shown, that the processes \(\mathcal{L}_t^H\) and \(L_t^H\) are square integrable. The Meyer-Tanaka formula for the weighted local time is obtained. Finally, for 2-dimensional process it is shown that the renormalized self-intersection local time exists in \(L_2(\mu)\), provided \(1/2<H<3/4\).