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

DOI10.1007/S10440-010-9579-1zbMATH Open1213.60076arXiv1001.0513OpenAlexW2141661740WikidataQ57822042 ScholiaQ57822042MaRDI QIDQ618761FDOQ618761

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

Publication date: 17 January 2011

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

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.

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

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zbMATH Keywords

fractional Brownian motionlocal timewhite noise analysis

Mathematics Subject Classification ID

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

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Cited In (13)

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

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