Intersection Local Times of Independent Fractional Brownian Motions as Generalized White Noise Functionals

@article{Oliveira2011IntersectionLT,
  title={Intersection Local Times of Independent Fractional Brownian Motions as Generalized White Noise Functionals},
  author={Maria Jo{\~a}o R. Oliveira and Jos{\'e} Lu{\'i}s da Silva and Ludwig Streit},
  journal={Acta Applicandae Mathematicae},
  year={2011},
  volume={113},
  pages={17-39}
}

• Maria João R. Oliveira, José Luís da Silva, Ludwig Streit
• Published 2011
• DOI:10.1007/s10440-010-9579-1

In this work we present expansions of intersection local times of fractional Brownian motions in ℝd, for any dimension d≥1, with arbitrary Hurst coefficients in (0,1)d. 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. As an application of our approach, a sufficient condition on d for the existence of intersection local times in L2 is derived, extending the results in… CONTINUE READING

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