Title of article
Integral representation of renormalized self-intersection local times
Author/Authors
Yaozhong Hu، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2008
Pages
26
From page
2507
To page
2532
Abstract
In this paper we apply Clark–Ocone formula to deduce an explicit integral representation for the renormalized
self-intersection local time of the d-dimensional fractional Brownian motion with Hurst parameter
H ∈ (0, 1). As a consequence, we derive the existence of some exponential moments for this random variable.
Published by Elsevier Inc.
Keywords
Malliavin calculus , Fractional Brownian motion , Self-intersection local time , Clark–Ocone formula , Exponential integrability , Local nondeterminism
Journal title
Journal of Functional Analysis
Serial Year
2008
Journal title
Journal of Functional Analysis
Record number
839740
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