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arXiv · 0704.1259

Intersection local time for two independent fractional Brownian motions

David Nualart·Salvador Ortiz-Latorre
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Abstract

We prove the existence of the intersection local time for two independent, d -dimensional fractional Brownian motions with the same Hurst parameter H. Assume d greater or equal to 2, then the intersection local time exists if and only if Hd<2.

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David Nualart, Salvador Ortiz-Latorre. 2007-04-10. Intersection local time for two independent fractional Brownian motions. https://arxiv.org/abs/0704.1259

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