Integral representation of renormalized self-intersection local times

DOI10.1016/J.JFA.2008.06.016zbMATH Open1166.60047arXiv0806.3706OpenAlexW1986334105MaRDI QIDQ999853FDOQ999853

Authors: Yaozhong Hu, David Nualart, Jian Song 

Publication date: 10 February 2009

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

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.

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

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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)

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Cited In (13)

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

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