Self-intersection local time of additive Lévy process

DOI10.1016/S0252-9602(17)30480-0MaRDI QIDQ698910zbMATH OpenOpenAlexFDO

Authors Yuquan Zhong, Dihe Hu

Publication date 28 March 2003

Published in Acta Mathematica Scientia. Series B. (English Edition) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0252-9602(17)30480-0

zbMATH Keywords

additive Lévy processlocal timeself-intersection local time

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

Review text

Additive Lévy processes are \(N\)-parameter stochastic processes designed by adding \(N\) one-parameter independent Lévy processes. The authors obtain a sufficient condition for the existence of the self-intersection local time of such processes. Then, using a continuity lemma of Garsia, they prove the joint continuity of this local time under simple conditions on the exponent functions of the components of the process.

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Cited in

(7)

• Existence and joint continuity of local time of multi-parameter fractional Lévy processes
• Additive functionals of several Lévy processes and intersection local times
• Self-intersection local times of additive processes: large deviation and law of the iterated logarithm
• Local times of additive Lévy processes.
• Local time of additive Levy process
• Some path properties of generalized Lévy sheet
• Local time analysis of additive Lévy processes with different Lévy exponents

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