Publication
Intersection local times of independent fractional Brownian motions as generalized white noise functionals
| dc.contributor.author | Oliveira, Maria João | |
| dc.contributor.author | Silva, José Luís da | |
| dc.contributor.author | Streit, Ludwig | |
| dc.date.accessioned | 2012-01-12T10:11:51Z | |
| dc.date.available | 2012-01-12T10:11:51Z | |
| dc.date.issued | 2011 | |
| dc.description.abstract | 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. | por |
| dc.identifier.citation | 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 | por |
| dc.identifier.issn | 0167-8019 | |
| dc.identifier.uri | http://hdl.handle.net/10400.2/2033 | |
| dc.language.iso | eng | por |
| dc.peerreviewed | yes | por |
| dc.publisher | Springer | por |
| dc.relation.ispartofseries | 113 | |
| dc.relation.publisherversion | http://www.springerlink.com/content/681n57386r291023/ | por |
| dc.relation.publisherversion | DOI 10.1007/s10440-010-9579-1 | |
| dc.subject | Fractional Brownian motion | por |
| dc.subject | White noise analysis | por |
| dc.subject | Local time | por |
| dc.title | Intersection local times of independent fractional Brownian motions as generalized white noise functionals | por |
| dc.type | journal article | |
| dspace.entity.type | Publication | |
| oaire.citation.conferencePlace | Holanda | por |
| oaire.citation.endPage | 39 | por |
| oaire.citation.startPage | 17 | por |
| oaire.citation.title | Acta Applicandae Mathematicae | por |
| person.familyName | Oliveira | |
| person.givenName | Maria João | |
| person.identifier.ciencia-id | DD1B-3964-2168 | |
| person.identifier.orcid | 0000-0002-4027-9849 | |
| person.identifier.scopus-author-id | 24473078000 | |
| rcaap.rights | openAccess | por |
| rcaap.type | article | por |
| relation.isAuthorOfPublication | 73548978-4e91-4a20-bc3c-c62106297626 | |
| relation.isAuthorOfPublication.latestForDiscovery | 73548978-4e91-4a20-bc3c-c62106297626 |