Tanaka formulae and renormalization for triple intersections of Brownian motion in the plane
Let \((W_t)_{t\geq 0}\) be a Brownian motion in the plane and \(\gamma\) be the corresponding renormalized triple intersection local time. In this paper, the authors establish two Tanaka formulae for \(\gamma\): it means that \(\gamma\) is expressed in terms of special stochastic integrals. These integrals are called ``bilateral as they are double integrals with respect to Brownian motion, one of which is taken in the forward direction and the other one in the backward direction. The construction of these double stochastic integrals is developed and the authors give an explicit stochastic integral representation for the renormalized triple intersection local time.
- Intersection local times and Tanaka formulas
- scientific article; zbMATH DE number 3897969
- RENORMALISATION DU TEMPS LOCAL DES POINTS TRIPLES DU MOUVEMENT BROWNIEN
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- Tanaka's formula for multiple intersections of planar Brownian motion
- Intersection local times and Tanaka formulas
- scientific article; zbMATH DE number 3897969 (Why is no real title available?)
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