Regularity of intersection local times of fractional Brownian motions

DOI10.1007/S10959-009-0221-YMaRDI QIDQ616255zbMATH OpenOpenAlexFDO

Authors Y. Xiao, Dongsheng Wu

Publication date 7 January 2011

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0904.0949

zbMATH Keywords

fractional Brownian motionHausdorff dimensionHölder conditionintersection local timejoint continuitypacking dimension

Mathematics Subject Classification ID

Fractals (28A80) (L^p)-limit theorems (60F25) Self-similar stochastic processes (60G18) Fractional processes, including fractional Brownian motion (60G22) Local time and additive functionals (60J55)

Abstract: Let $B^{alph{a}_i}$ be an $(N_i,d)$-fractional Brownian motion with Hurst index $alph{a}_i$ ($i=1,2$), and let $B^{alph{a}_1}$ and $B^{alph{a}_2}$ be independent. We prove that, if $frac{N}_{1}alph{a}_1+frac{N}_{2}alph{a}_2>d$, then the intersection local times of $B^{alph{a}_1}$ and $B^{alph{a}_2}$ exist, and have a continuous version. We also establish H"{o}lder conditions for the intersection local times and determine the Hausdorff and packing dimensions of the sets of intersection times and intersection points. One of the main motivations of this paper is from the results of Nualart and Ortiz-Latorre ({it J. Theor. Probab.} {�f 20} (2007)), where the existence of the intersection local times of two independent $(1,d)$-fractional Brownian motions with the same Hurst index was studied by using a different method. Our results show that anisotropy brings subtle differences into the analytic properties of the intersection local times as well as rich geometric structures into the sets of intersection times and intersection points.

Review text

Let \(B^{\alpha_i}(s)\), \(s\in\mathbb R^{N_i}\), \(i=1,2\), be two independent fractional Brownian motions in \(\mathbb R^d\) with Hurst indices, \(\alpha_1,\alpha_2\in (0,1)\), respectively. The paper is devoted to the investigation of the regularity of the intersection local times \(L(x,E)\) of \(B^{\alpha_1}\) and \(B^{\alpha_2}\), as well as to the fractal properties of the sets of the intersection times and intersection points. The authors prove that the condition \(\frac{N_1}{\alpha_1}+\frac{N_2}{\alpha_2}>d\) is necessary and sufficient for the existence of the local time. Moreover, this condition implies that \(B^{\alpha_1}\) and \(B^{\alpha_2}\) have almost surely a continuous intersection local time on \(\mathbb R^{N_1+N_2}\). The proof essentially relies on the moment estimates for \(L(x,D)\), and on the Kolmogorov continuity theorem. Further, exponential integrability and Hölder conditions of local times are investigated. Finally, under \(\frac{N_1}{\alpha_1}+\frac{N_2}{\alpha_2}>d\), the Hausdorff and the packing dimensions of the set \[ D:=\{x\in\mathbb R^d,\;x=B^{\alpha_1}(s)=B^{\alpha_2}(t)\text{ for some }(t,s)\in\mathbb R^N\} \] are found, and appear to be equal.

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Cited in

(34)

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