On the existence of self-intersections for quasi-every Brownian path in space

DOI10.1214/AOP/1176991411MaRDI QIDQ751060zbMATH OpenOpenAlexFDO

Authors Mathew D. Penrose

Publication date 1989

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aop/1176991411

zbMATH Keywords

Brownian motionHausdorff dimensionself- intersection local timeself-intersection

Mathematics Subject Classification ID

Sample path properties (60G17) Local time and additive functionals (60J55) Brownian motion (60J65)

Review text

\textit{M. Fukushima} [J. Math. Soc. Japan 36, No.1, 161-176 (1984; Zbl 0522.60081)] defined the notion of quasi-everywhere (q.e.) for standard Brownian motion. The main purpose of the present paper is to show that much of the theory due to \textit{J. Rosen} [Commun. Math. Phys. 88, No.3, 327-338 (1983; Zbl 0534.60070)] on the existence and properties of the self-intersection of almost every Brownian path carries over to results for quasi-every Brownian path. In \(R^ 3\) it is not only shown that quasi-every Brownian path intersects itself in any time interval, but also that the set of double points has Hausdorff dimension 1, thereby strengthening the a.e. result due to \textit{B. Fristedt} [Z. Wahrscheinlichkeitstheorie Verw. Gebiete 9, 62-64 (1967; Zbl 0314.60030)]. In order to show that the self-intersection local time on a bounded time set is q.e. positive, the author requires an upper estimate of the small tail of the distribution of the intersection local time of two independent Brownian motions starting at the same point. The reviewer would like to know the asymptotic behavior of this small tail.

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