Integral representation of renormalized self-intersection local times (Q999853)

The Clark-Ocone formula is applied to deduce an explicit integral representation for the renormalized self-intersection local time of the \(d\)-dimensional fractional Brownian motion with Hurst parameter \(H \in (0,1)\). As a consequence, the existence of some exponential moments for this random variable is derived. The analysis is done for processes of the form \(B_t = \int_0^t K(t,s)\, dW_s\) satisfying a condition on the kernel \(K(t,s)\). This condition is implied by the local nondeterminism property of the fractional Brownian motion. The self-intersection local time is defined as the limit of \(L_\varepsilon = \int_0^T \int_0^t p_\varepsilon(B_t-B_s)\, ds\, dt\), as \(\varepsilon\) tends to zero, where \(p_\varepsilon\) denotes the heat kernel. The renormalized self-intersection local time is defined as the limit of \(L_\varepsilon - E(L_\varepsilon)\). Necessary and sufficient conditions for the existence of these limits are also given.