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 dimensionpacking dimensionintersection local timejoint continuityHölder condition

Mathematics Subject Classification ID

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

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.

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Cited in

(32)

• Derivative for the intersection local time of two independent fractional Brownian motions
• Intersection local time for two independent fractional Brownian motions
• The multifractal spectrum of Brownian intersection local times
• On the self-intersection local time of subfractional Brownian motion
• Regularity of the Local Time for the d-dimensional Fractional Brownian Motion with N-parameters
• A strong convergence to the tempered fractional Brownian motion
• Remarks on the intersection local time of fractional Brownian motions
• Limit theorems for functionals of two independent Gaussian processes
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• Hölder continuity and occupation-time formulas for fBm self-intersection local time and its derivative
• Derivatives of local times for some Gaussian fields. II
• Higher-order derivative of intersection local time for two independent fractional Brownian motions
• Mixed fractional Brownian sheets and their applications
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• Smoothness of local times and self-intersection local times of Gaussian random fields
• Mutual intersection for rough differential systems driven by fractional Brownian motions
• Existence, renormalization, and regularity properties of higher order derivatives of self-intersection local time of fractional Brownian motion
• On intersections of independent anisotropic Gaussian random fields
• A first-order limit law for functionals of two independent fractional Brownian motions in the critical case
• On intersections of independent space-time anisotropic Gaussian fields
• Central limit theorem for functionals of two independent fractional Brownian motions
• Renormalized self-intersection local time of bifractional Brownian motion
• Asymptotic behavior for an additive functional of two independent self-similar Gaussian processes
• Smoothness of self-intersection local time of multidimensional fractional Brownian motion
• Necessary and sufficient condition for the smoothness of intersection local time of subfractional Brownian motions
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