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arXiv 0802.4367math-phmath.MP
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分数布朗运动与$H\in(0,1)$作为广义白噪声泛函的相交局部时

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

Custodia Drumond, Maria Joao Oliveira, Jose Luis da Silva

摘要:

在$\R^d$中,对任意维数的$d\geq 1$,给出了具有任意Hurst系数的分数阶布朗运动在$(0,1)$中的自相交局部时的展开式.的扩展是在Wick权力的白噪声(对应于多个维纳积分),被定义在广义白噪声泛函的意义。

英文摘要:

In $\R^d$, for any dimension $d\geq 1$, 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.

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