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| On the Collision Local Time of Fractional Brownian Motions |
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Citation： |
Yiming JIANG.On the Collision Local Time of Fractional Brownian Motions[J].Chinese Annals of Mathematics B,2007,28(3):311~320 |
| Page view： 1395
Net amount： 847 |
Authors： |
Yiming JIANG; |
Foundation： |
Project supported by the National Natural Science Foundation of China (No. 10471003). |
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| Abstract： |
In this paper, the existence and smoothness of the collision local time are proved for two independent fractional Brownian motions, through $L^2$ convergence and Chaos expansion. Furthermore, the regularity of the collision local time process is studied. |
Keywords： |
Collision local time, Fractional Brownian motion, Chaos expansion, H?lder continuity |
Classification： |
60G15, 60G18 |
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