Integral representation of renormalized self-intersection local times

DOI10.1016/J.JFA.2008.06.016zbMATH Open1166.60047OpenAlexW1986334105MaRDI QIDQ999853FDOQ999853

Authors Yaozhong Hu, David Nualart, Jian Song

Publication date 10 February 2009

Published in Journal of Functional Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0806.3706

zbMATH Keywords

Malliavin calculusmethod of momentslocal nondeterminismself-intersection local timeClark-Ocone formulaexponential integrabilityFractional Brownian motion

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic calculus of variations and the Malliavin calculus (60H07) Brownian motion (60J65) Sample path properties (60G17) Local time and additive functionals (60J55) Self-similar stochastic processes (60G18)

Abstract: In this paper we apply Clark-Ocone formula to deduce an explicit integral representation for the renormalized self-intersection local time of the $d$% -dimensional fractional Brownian motion with Hurst parameter $Hin(0,1)$. As a consequence, we derive the existence of some exponential moments for this random variable.

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Cited in

(14)

• The Edwards-Wilkinson limit of the random heat equation in dimensions three and higher
• On \(L^{2}\) modulus of continuity of Brownian local times and Riesz potentials
• Existence, renormalization, and regularity properties of higher order derivatives of self-intersection local time of fractional Brownian motion
• Stochastic quantization for the fractional Edwards measure
• Analysis of stochastic quantization for the fractional Edwards measure
• The Schrödinger equation with spatial white noise: the average wave function
• Renormalized self-intersection local time for fractional Brownian motion
• On a class of stochastic partial differential equations
• Functional limit theorem for the self-intersection local time of the fractional Brownian motion
• Self-avoiding fractional Brownian motion -- the Edwards model
• Central limit theorem for an additive functional of the fractional Brownian motion
• Clark representation for local times of self-intersection of Gaussian integrators
• Regularity of renormalized self-intersection local time for fractional Brownian motion
• Higher-order derivative of intersection local time for two independent fractional Brownian motions

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