Intersection local times of independent fractional Brownian motions as generalized white noise functionals

Detalhes bibliográficos
Autor(a) principal: Oliveira, Maria João
Data de Publicação: 2011
Outros Autores: Silva, José Luís da, Streit, Ludwig
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.2/2033
Resumo: In this work we present expansions of intersection local times of fractional Brownian motions in R^d , 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 L^2 is derived, extending the results in Nualart and Ortiz-Latorre (J. Theoret. Probab. 20(4):759–767, 2007) to different and more general Hurst coefficients.
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spelling Intersection local times of independent fractional Brownian motions as generalized white noise functionalsFractional Brownian motionWhite noise analysisLocal timeIn this work we present expansions of intersection local times of fractional Brownian motions in R^d , 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 L^2 is derived, extending the results in Nualart and Ortiz-Latorre (J. Theoret. Probab. 20(4):759–767, 2007) to different and more general Hurst coefficients.SpringerRepositório AbertoOliveira, Maria JoãoSilva, José Luís daStreit, Ludwig2012-01-12T10:11:51Z20112011-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.2/2033engOliveira, Maria João; Silva, José Luís da; Streit, Ludwig - Intersection local times of independent fractional Brownian motions as generalized white noise functionals. "Acta Applicandae Mathematicae" [Em linha]. ISSN 0167-8019. Vol. 113 , nº 1 (2011), p. 17-390167-8019info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-11-16T15:15:22Zoai:repositorioaberto.uab.pt:10400.2/2033Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:43:39.448078Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Intersection local times of independent fractional Brownian motions as generalized white noise functionals
title Intersection local times of independent fractional Brownian motions as generalized white noise functionals
spellingShingle Intersection local times of independent fractional Brownian motions as generalized white noise functionals
Oliveira, Maria João
Fractional Brownian motion
White noise analysis
Local time
title_short Intersection local times of independent fractional Brownian motions as generalized white noise functionals
title_full Intersection local times of independent fractional Brownian motions as generalized white noise functionals
title_fullStr Intersection local times of independent fractional Brownian motions as generalized white noise functionals
title_full_unstemmed Intersection local times of independent fractional Brownian motions as generalized white noise functionals
title_sort Intersection local times of independent fractional Brownian motions as generalized white noise functionals
author Oliveira, Maria João
author_facet Oliveira, Maria João
Silva, José Luís da
Streit, Ludwig
author_role author
author2 Silva, José Luís da
Streit, Ludwig
author2_role author
author
dc.contributor.none.fl_str_mv Repositório Aberto
dc.contributor.author.fl_str_mv Oliveira, Maria João
Silva, José Luís da
Streit, Ludwig
dc.subject.por.fl_str_mv Fractional Brownian motion
White noise analysis
Local time
topic Fractional Brownian motion
White noise analysis
Local time
description In this work we present expansions of intersection local times of fractional Brownian motions in R^d , 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 L^2 is derived, extending the results in Nualart and Ortiz-Latorre (J. Theoret. Probab. 20(4):759–767, 2007) to different and more general Hurst coefficients.
publishDate 2011
dc.date.none.fl_str_mv 2011
2011-01-01T00:00:00Z
2012-01-12T10:11:51Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.2/2033
url http://hdl.handle.net/10400.2/2033
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Oliveira, Maria João; Silva, José Luís da; Streit, Ludwig - Intersection local times of independent fractional Brownian motions as generalized white noise functionals. "Acta Applicandae Mathematicae" [Em linha]. ISSN 0167-8019. Vol. 113 , nº 1 (2011), p. 17-39
0167-8019
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Springer
publisher.none.fl_str_mv Springer
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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