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arXiv · 0802.4367

Intersection local times of fractional Brownian motions with $H\in(0,1)$ as generalized white noise functionals

Custodia Drumond·Maria Joao Oliveira·Jose Luis da Silva
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Abstract

In $\R^d$, for any dimension $d\geq 1$, expansions of self-intersection local times of fractional Brownian motions with arbitrary Hurst coefficients in $(0,1)$ are presented. The expansions are in terms of Wick powers of white noises (corresponding to multiple Wiener integrals), being well-defined in the sense of generalized white noise functionals.

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Custodia Drumond, Maria Joao Oliveira, Jose Luis da Silva. 2008-02-29. Intersection local times of fractional Brownian motions with $H\in(0,1)$ as generalized white noise functionals. https://doi.org/10.1063/1.2956798

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