Intersection local times of independent fractional Brownian motions as generalized white noise functionals

DOI10.1007/S10440-010-9579-1MaRDI QIDQ618761zbMATH OpenOpenAlexWikidataFDO

Authors José L. Silva, L. Streit, M. J. Oliveira

Publication date 17 January 2011

Published in Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1001.0513

zbMATH Keywords

fractional Brownian motionlocal timewhite noise analysis

Mathematics Subject Classification ID

Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20) Distributions on infinite-dimensional spaces (46F25) Fractional processes, including fractional Brownian motion (60G22) White noise theory (60H40) Local time and additive functionals (60J55)

Abstract: In this work we present expansions of intersection local times of fractional Brownian motions in $R^d$, for any dimension $dgeq1$, with arbitrary Hurst coefficients in $(0,1{)}^d$. The expansions are in terms of Wick powers of white noises (corresponding to multiple Wiener integrals), being well-defined in the sense of generalized white noise functionals. As an application of our approach, a sufficient condition on $d$ for the existence of intersection local times in $L^2$ is derived, extending the results of D. Nualart and S. Ortiz-Latorre in "Intersection Local Time for Two Independent Fractional Brownian Motions" (J. Theoret. Probab.,20(4)(2007), 759-767) to different and more general Hurst coefficients.

Review text

The goal of this paper is to extend the results concerning intersection of local times stated in [\textit{S. Albeverio, M. J. Oliveira} and \textit{L. Streit}, Acta Appl. Math. 69, No. 3, 221--241 (2001; Zbl 1033.60081] from Brownian motions to two \(d\)-dimensional independent fractional Brownian motions with different Hurst coefficients. The authors apply white noise analysis framework as the main tool. This approach has the advantage that the underlying probability space does not depend on any Hurst coefficient. As an application, a sufficient condition on \(d\) for the existence of intersection local times in \(L^2\) is derived.

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Cited in

(14)

• Intersection local times as generalized white noise functionals
• On the self-intersection local time of subfractional Brownian motion
• Limit theorems for functionals of two independent Gaussian processes
• Mittag-Leffler analysis. I: Construction and characterization
• Higher-order derivative of intersection local time for two independent fractional Brownian motions
• Intersection local time for two independent fractional Brownian motions
• Local times for multifractional Brownian motion in higher dimensions: A white noise approach
• Intersection local times of fractional Brownian motions with H\in(0,1) as generalized white noise functionals
• MULTIPLE INTERSECTION LOCAL TIMES IN TERMS OF WHITE NOISE
• Existence, renormalization, and regularity properties of higher order derivatives of self-intersection local time of fractional Brownian motion
• Collision local times of two independent fractional Brownian motions
• Remarks on the intersection local time of fractional Brownian motions
• Mittag-Leffler analysis. II: Application to the fractional heat equation.
• Self-avoiding fractional Brownian motion -- the Edwards model

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