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

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

http://hdl.handle.net/10400.2/3789

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Autores

Drumond, Custódia

Oliveira, Maria João

Silva, José Luís da

Resumo(s)

In R^d, 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.

Palavras-chave

Fractional Brownian motion Fractional white noise analysis Local time

URI

http://hdl.handle.net/10400.2/3789

Citação

Drumond, Custódia; Oliveira, Maria João; Silva, José Luís - Intersection local times of fractional Brownian motions with H∈(0,1) as generalized white noise functionals. "AIP Conference Proceedings" [Em linha]. ISSN 0094-243X (Print) 1551-7616 (Online). Vol. 1021, nº 1 (2008), p. 1-17

Editora

American Institute of Physics

DOI

10.1063/1.2956798

Coleções

Matemática e Estatística | Artigos em revistas internacionais / Papers in international journals

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