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

Drumond, Custódia; Oliveira, Maria João; Silva, José Luís da

http://hdl.handle.net/10400.13/4816

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Authors

Drumond, Custódia

Oliveira, Maria João

Silva, José Luís da

Abstract(s)

In Rd, for any dimension d ≥ 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.

Keywords

Fractional Brownian motion Fractional white noise analysis Local time . Faculdade de Ciências Exatas e da Engenharia

URI

http://hdl.handle.net/10400.13/4816

Citation

Drumond, C., Oliveira, M. J., & Silva, J. L. (2008, June). Intersection local times of fractional Brownian motions with H∈(0, 1) as generalized white noise functionals. In AIP Conference Proceedings (Vol. 1021, No. 1, pp. 34-45). American Institute of Physics.