Regularity of intersection local times of fractional Brownian motions

DOI10.1007/S10959-009-0221-YzbMATH Open1217.60030arXiv0904.0949OpenAlexW2114493300MaRDI QIDQ616255FDOQ616255

Dongsheng Wu, Y. Xiao

Publication date: 7 January 2011

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

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.

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

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zbMATH Keywords

fractional Brownian motionHausdorff dimensionpacking dimension[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=H%EF%BF%BD%EF%BF%BDlder+condition&go=Go H��lder condition]intersection local timejoint continuity

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)

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Cited In (28)

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• The multifractal spectrum of Brownian intersection local times
• Regularity of the Local Time for the d-dimensional Fractional Brownian Motion with N-parameters
• On the self-intersection local time of subfractional Brownian motion
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• Derivatives of local times for some Gaussian fields. II
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• Asymptotic behavior for an additive functional of two independent self-similar Gaussian processes
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• Necessary and sufficient condition for the smoothness of intersection local time of subfractional Brownian motions
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• Large deviations for local times and intersection local times of fractional Brownian motions and Riemann-Liouville processes
• Derivatives of local times for some Gaussian fields
• Derivative for the intersection local time of two independent fractional Brownian motions

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