Necessary and sufficient condition for the smoothness of intersection local time of subfractional Brownian motions
Let S H and S ̃ H be two independent d -dimensional sub-fractional Brownian motions with indices H ∈ (0, 1). Assume d ≥ 2, we investigate the intersection local time of subfractional Brownian motions ℓ T = ∫ 0 T ∫ 0 T δ S t H - S ̃ s H d s d t , T > 0 , where δ denotes the Dirac delta function at...
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Published in | Journal of inequalities and applications Vol. 2011; no. 1; pp. 1 - 16 |
---|---|
Main Author | |
Format | Journal Article |
Language | English |
Published |
Cham
Springer International Publishing
19.12.2011
Springer Nature B.V BioMed Central Ltd |
Subjects | |
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Abstract | Let
S
H
and
S
̃
H
be two independent
d
-dimensional sub-fractional Brownian motions with indices
H
∈ (0, 1). Assume
d
≥ 2, we investigate the intersection local time of subfractional Brownian motions
ℓ
T
=
∫
0
T
∫
0
T
δ
S
t
H
-
S
̃
s
H
d
s
d
t
,
T
>
0
,
where
δ
denotes the Dirac delta function at zero. By elementary inequalities, we show that ℓ
T
exists in
L
2
if and only if
Hd <
2 and it is smooth in the sense of the Meyer-Watanabe if and only if
H
<
2
d
+
2
. As a related problem, we give also the regularity of the intersection local time process.
2010 Mathematics Subject Classification:
60G15; 60F25; 60G18; 60J55. |
---|---|
AbstractList | Let S ^sup H^ and [InlineEquation not available: see fulltext.] be two independent d-dimensional sub-fractional Brownian motions with indices H (0, 1). Assume d >= 2, we investigate the intersection local time of subfractional Brownian motions [Equation not available: see fulltext.] where δ denotes the Dirac delta function at zero. By elementary inequalities, we show that ^sub T^ exists in L ^sup 2^ if and only if Hd < 2 and it is smooth in the sense of the Meyer-Watanabe if and only if [InlineEquation not available: see fulltext.]. As a related problem, we give also the regularity of the intersection local time process. 2010 Mathematics Subject Classification: 60G15; 60F25; 60G18; 60J55.[PUBLICATION ABSTRACT] Let S super( )Hand [InlineEquation not available: see fulltext.] be two independent d-dimensional sub-fractional Brownian motions with indices H (0, 1). Assume d greater than or equal to 2, we investigate the intersection local time of subfractional Brownian motions [Equation not available: see fulltext.] where delta denotes the Dirac delta function at zero. By elementary inequalities, we show that sub( )Texists in L super(2) if and only if Hd < 2 and it is smooth in the sense of the Meyer-Watanabe if and only if [InlineEquation not available: see fulltext.]. As a related problem, we give also the regularity of the intersection local time process. 2010 Mathematics Subject Classification: 60G15; 60F25; 60G18; 60J55. Let S H and S ̃ H be two independent d -dimensional sub-fractional Brownian motions with indices H ∈ (0, 1). Assume d ≥ 2, we investigate the intersection local time of subfractional Brownian motions ℓ T = ∫ 0 T ∫ 0 T δ S t H - S ̃ s H d s d t , T > 0 , where δ denotes the Dirac delta function at zero. By elementary inequalities, we show that ℓ T exists in L 2 if and only if Hd < 2 and it is smooth in the sense of the Meyer-Watanabe if and only if H < 2 d + 2 . As a related problem, we give also the regularity of the intersection local time process. 2010 Mathematics Subject Classification: 60G15; 60F25; 60G18; 60J55. Let SH and S̃H be two independent d-dimensional sub-fractional Brownian motions with indices H ∈ (0, 1). Assume d ≥ 2, we investigate the intersection local time of subfractional Brownian motionsℓT= ∫ 0T∫ 0TδStH-S̃sHdsdt,T>0,where δ denotes the Dirac delta function at zero. By elementary inequalities, we show that ℓT exists in L2 if and only if Hd < 2 and it is smooth in the sense of the Meyer-Watanabe if and only if H<2d+2. As a related problem, we give also the regularity of the intersection local time process.2010 Mathematics Subject Classification: 60G15; 60F25; 60G18; 60J55. |
ArticleNumber | 139 |
Author | Shen, Guangjun |
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Cites_doi | 10.1016/0022-1236(78)90061-7 10.1512/iumj.1974.23.23006 10.1016/0047-259X(87)90176-X 10.1214/ECP.v12-1272 10.1016/0022-1236(78)90062-9 10.1023/A:1014212906782 10.1007/BF03191241 10.2307/2371467 10.1214/aop/1176993375 10.1016/0304-4149(94)00041-Q 10.1016/j.spl.2011.10.002 10.1016/j.jkss.2010.12.004 10.1016/j.spl.2004.06.035 10.1016/j.spa.2005.07.002 10.1016/j.spl.2011.01.021 10.1016/j.spl.2009.11.003 10.1007/s10959-009-0221-y 10.1023/A:1005782030567 10.1007/s10959-007-0106-x 10.7146/math.scand.a-12252 10.1215/kjm/1250517630 10.1080/17442500601100331 |
ContentType | Journal Article |
Copyright | Shen; licensee Springer. 2011. This article is published under license to BioMed Central Ltd. This is an Open Access article distributed under the terms of the Creative Commons Attribution License ( ), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. Springer International Publishing AG 2011 |
Copyright_xml | – notice: Shen; licensee Springer. 2011. This article is published under license to BioMed Central Ltd. This is an Open Access article distributed under the terms of the Creative Commons Attribution License ( ), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. – notice: Springer International Publishing AG 2011 |
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Keywords | intersection local time Chaos expansion subfractional Brownian motion |
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Snippet | Let
S
H
and
S
̃
H
be two independent
d
-dimensional sub-fractional Brownian motions with indices
H
∈ (0, 1). Assume
d
≥ 2, we investigate the intersection... Let S ^sup H^ and [InlineEquation not available: see fulltext.] be two independent d-dimensional sub-fractional Brownian motions with indices H (0, 1). Assume... Let S super( )Hand [InlineEquation not available: see fulltext.] be two independent d-dimensional sub-fractional Brownian motions with indices H (0, 1). Assume... Let SH and S̃H be two independent d-dimensional sub-fractional Brownian motions with indices H ∈ (0, 1). Assume d ≥ 2, we investigate the intersection local... |
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StartPage | 1 |
SubjectTerms | Analysis Applications of Mathematics Brownian motion Classification Delta function Inequalities Intersections Mathematical analysis Mathematics Mathematics and Statistics Regularity Smoothness |
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Title | Necessary and sufficient condition for the smoothness of intersection local time of subfractional Brownian motions |
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