Consider p independent Brownian motions in R^d, each running up to its first exit time from an open domain B, and their intersection local time l as a measure on B. We give a sharp criterion for the finiteness of exponential moments,
E[exp(\sum_{i=1}^n (int_B f_i(x) l(dx))^{1/p})], where f_1, ...,f_n are nonnegative, bounded functions with compact support in B. We also derive a law of large numbers for intersection local time conditioned to have large total mass.
On the exponential integrability of the derivative of intersection and self-intersection local time for fractional Brownian motion and a limit theorem related to the self-intersection local time for fractional Brownian motion
We prove the existence of the intersection local time for two independent, d -dimensional fractional Brownian motions with the same Hurst parameter H. Assume d greater or equal to 2, then the intersection local time exists if and only if Hd<2.
In this paper we compute the $\frac 43$-variation of the derivative of the self-intersection Brownian local time $γ_t=\int_0^t \int_0^u δ'(B_u-B_s)dsdu\,, t\ge 0$, applying techniques from the theory of fractional martingales.
The existence condition $H<1/d$ for first-order derivative of self-intersection local time for $d\geq3$ dimensional fractional Brownian motion can be obtained in Yu (2021). In this paper, we show a limit theorem under the non-existence critical condition $H=1/d$.
We consider the existence and Hölder continuity conditions for the $k$-th order derivatives of self-intersection local time for $d$-dimensional fractional Brownian motion, where $k=(k_1,k_2,\cdots, k_d)$. Moreover, we show a limit theorem for the critical case with $H=\frac{2}{3}$ and $d=1$, which was conjectured by Jung and Markowsky (2014).
In this article, we obtain sharp conditions for the existence of the high order derivatives ($k$-th order) of intersection local time $ \widehatα^{(k)}(0)$ of two independent d-dimensional fractional Brownian motions $B^{H_1}_t$ and $\widetilde{B}^{H_2}_s$ with Hurst parameters $H_1$ and $H_2$, respectively. We also study their exponential integrability.
In this article we establish some estimates related to the Gaussian densities and to Hermite polynomials in order to obtain an almost sure estimate for each term of the Itô-Wiener expansion of the self-intersection local times of the Brownian motion. In dimension $d\geqslant 4$ the self-intersection local times of the Brownian motion can be considered as a family of measures on the classical Wiener space. We provide some asymptotics relative to these measures. Finally, we try to estimate the quadratic Wasserstein distance between these measures and the Wiener measure.
Let \ell be the projected intersection local time of two independent Brownian paths in R^d for d=2,3. We determine the lower tail of the random variable \ell(U), where U is the unit ball. The answer is given in terms of intersection exponents, which are explicitly known in the case of planar Brownian motion. We use this result to obtain the multifractal spectrum, or spectrum of thin points, for the intersection local times.
We study the set of points $\mathcal{D}_{n,m}$ around which two independent Brownian motions wind at least $n$ (resp. $m$) times. We prove that its area is asymptotically equivalent, in $L^p$ and almost surely, to $\frac{\ell(\mathbb{R}^2)}{4π^2 n m}$, where $\ell$ is the intersection measure of the two trajectories. We also prove that the properly scaled Lebesgue measure carried by $\mathcal{D}_{n,m}$ converges almost surely weakly toward $\ell$.
Consider the intersection measure $\ell^{\mathrm{IS}}_t$ of $p$ independent Brownian motions on $\mathbb{R}^d$. In this article, we prove the large deviation principle for the normalized intersection measure $t^{-p}\ell^{\mathrm{IS}}_t$ as $t\rightarrow \infty$, before exiting a (possibly unbounded) domain $D\subset\mathbb{R}^d$ with smooth boundary. This is an extension of [W. König and C. Mukherjee: Communications on Pure and Applied Mathematics, 66(2):263--306, 2013] which deals with the case $D$ is bounded. Our essential contribution is to prove the so-called super-exponential estimate for…
In this paper we prove exact forms of large deviations for local times and intersection local times of fractional Brownian motions and Riemann-Liouville processes. We also show that a fractional Brownian motion and the related Riemann-Liouville process behave like constant multiples of each other with regard to large deviations for their local and intersection local times. As a consequence of our large deviation estimates, we derive laws of iterated logarithm for the corresponding local times. The key points of our methods: (1) logarithmic superadditivity of a normalized sequence of moments of…
Let $B^{α_i}$ be an $(N_i,d)$-fractional Brownian motion with Hurst index ${α_i}$ ($i=1,2$), and let $B^{α_1}$ and $B^{α_2}$ be independent. We prove that, if $\frac{N_1}{α_1}+\frac{N_2}{α_2}>d$, then the intersection local times of $B^{α_1}$ and $B^{α_2}$ exist, and have a continuous version. We also establish Hölder conditions for the intersection local times and determine the Hausdorff and packing dimensions of the sets of intersection times and intersection points. One of the main motivations of this paper is from the results of Nualart and Ortiz-Latorre ({\it J. Theor. Probab.} {\bf 20} (…
The main purpose of this work is to define planar self-intersection local time by an alternative approach which is based on an almost sure pathwise approximation of planar Brownian motion by simple, symmetric random walks. As a result, Brownian self-intersection local time is obtained as an almost sure limit of local averages of simple random walk self-intersection local times. An important tool is a discrete version of the Tanaka--Rosen--Yor formula; the continuous version of the formula is obtained as an almost sure limit of the discrete version. The author hopes that this approach to self-i…
There is a close connection between intersections of Brownian motion paths and percolation on trees. Recently, ideas from probability on trees were an important component of the multifractal analysis of Brownian occupation measure, in joint work with A. Dembo, J. Rosen and O. Zeitouni. As a consequence, we proved two conjectures about simple random walk in two dimensions: The first, due to Erdős and Taylor (1960), involves the number of visits to the most visited lattice site in the first $n$ steps of the walk. The second, due to Aldous (1989), concerns the number of steps it takes a simple ra…
Let $\{B_{t}\}_{t\geq0}$ be a $d$-dimensional fractional Brownian motion with Hurst parameter $0<H<1$, where $d\geq2$. Consider the approximation of the self-intersection local time of $B$, defined as \begin{align*} I_{T}^{\varepsilon} &=\int_{0}^{T}\int_{0}^{t}p_{\varepsilon}(B_{t}-B_{s})dsdt, \end{align*} where $p_\varepsilon(x)$ is the heat kernel. We prove that the process $\{I_{T}^{\varepsilon}-\mathbb{E}\left[I_{T}^{\varepsilon}\right]\}_{T\geq0}$, rescaled by a suitable normalization, converges in law to a constant multiple of a standard Brownian motion for $\frac{3}{2d}<H\leq\frac{3}{4…
We prove that the self-intersection local times for generalized grey Brownian motion $B^{β,α}$ in arbitrary dimension $d$ is a well defined object in a suitable distribution space for $dα<2$.
Let $\{B_{t}\}_{t\geq0}$ be a fractional Brownian motion with Hurst parameter $\frac{2}{3}<H<1$. We prove that the approximation of the derivative of self-intersection local time, defined as \begin{align*} α_{\varepsilon} &= \int_{0}^{T}\int_{0}^{t}p'_{\varepsilon}(B_{t}-B_{s})\text{d}s\text{d}t, \end{align*} where $p_\varepsilon(x)$ is the heat kernel, satisfies a central limit theorem when renormalized by $\varepsilon^{\frac{3}{2}-\frac{1}{H}}$. We prove as well that for $q\geq2$, the $q$-th chaotic component of $α_{\varepsilon}$ converges in $L^{2}$ when $\frac{2}{3}<H<\frac{3}{4}$, and sat…
In the paper $k$-multiple self-intersection local time for planar Gaussian integrators generated by linear operator with nontrivial kernel is studied. In this case additional singularities arise in its formal Fourier--Wiener transform. In case $k=2$ the set of singularities is the finite number of points. In case $k>2$ it contains intervals and hyperplanes. In the first and the second cases using two different approaches related on structure of set of singularities we show that "new" singularities do not imply on the convergence of integral corresponding to the formal Fourier--Wiener transform…
We construct a fake exponential Brownian motion, a continuous martingale different from classical exponential Brownian motion but with the same marginal distributions, thus extending results of Albin and Oleszkiewicz for fake Brownian motions. The ideas extend to other diffusions.
We consider $p$ independent Brownian motions in $\R^d$. We assume that $p\geq 2$ and $p(d-2)<d$. Let $\ell_t$ denote the intersection measure of the $p$ paths by time $t$, i.e., the random measure on $\R^d$ that assigns to any measurable set $A\subset \R^d$ the amount of intersection local time of the motions spent in $A$ by time $t$. Earlier results of Chen \cite{Ch09} derived the logarithmic asymptotics of the upper tails of the total mass $\ell_t(\R^d)$ as $t\to\infty$. In this paper, we derive a large-deviation principle for the normalised intersection measure $t^{-p}\ell_t$ on the set of …
We prove joint Holder continuity and an occupation-time formula for the self-intersection local time of fractional Brownian motion. Motivated by an occupation-time formula, we also introduce a new version of the derivative of self-intersection local time for fractional Brownian motion and prove Holder conditions for this process. This process is related to a different version of the derivative of self-intersection local time studied by the authors in a previous work.
The density distribution function of the integral of the exponential Brownian motion is determined explicitly in the form of a rapidly convergent series.
We define and study a family of generalized non-intersection exponents for planar Brownian motions that is indexed by subsets of the complex plane: For each $A\subset\CC$, we define an exponent $ξ(A)$ that describes the decay of certain non-intersection probabilities. To each of these exponents, we associate a conformally invariant subset of the planar Brownian path, of Hausdorff dimension $2-ξ(A)$. A consequence of this and continuity of $ξ(A)$ as a function of $A$ is the almost sure existence of pivoting points of any sufficiently small angle on a planar Brownian path.
Let $B^{H_1}$ and $\tilde{B}^{H_2}$ be two independent fractional Brownian motions on ${\mathbb R}$ with respective indices $H_i\in (0,1)$ and $H_1\leq H_2$. In this paper, we consider their intersection local time $\ell_t(a)$. We show that $\ell_t(a)$ is differentiable in the spatial variable if $\frac1{H_1}+\frac1{H_2}>3$, and we introduce the so-called {\it hybrid quadratic covariation} $[f(B^{H_1}-\tilde{B}^{H_2}),B^{H_1}]^{(HC)}$. When $H_1<\frac12$, we construct a Banach space ${\mathscr H}$ of measurable functions such that the quadratic covariation exists in $L^2(Ω)$ for all $f\in {\ma…
This paper is concerned with the smoothness (in the sense of Meyer-Watanabe) of the local times of Gaussian random fields. Sufficient and necessary conditions for the existence and smoothness of the local times, collision local times, and self-intersection local times are established for a large class of Gaussian random fields, including fractional Brownian motions, fractional Brownian sheets and solutions of stochastic heat equations driven by space-time Gaussian noise.
The derivative of self-intersection local time (DSLT) for Brownian motion was introduced by Rosen and subsequently used by others to study the $L^2$ and $L^3$ moduli of continuity of Brownian local time. A version of the DSLT for fractional Brownian motion (fBm) has also appeared in the literature. In the present work, we further its study by proving a Tanaka-style formula for it. In the course of this endeavor we provide a Fubini theorem for integrals with respect to fBm. The Fubini theorem may be of independent interest, as it generalizes (to Hida distributions) similar results previously se…
In this article we study the distribution of the number of points of a simple random walk, visited a given number of times (the k-multiple point range). In a previous article we had developed a graph theoretical approach which is now extended from the closed to the the non restricted walk. Based on a study of the analytic properties of the first hit determinant a general method to define and calculate the generating functions of the moments of the distribution as analytical functions and express them as an absolutely converging series of graph contributions is given. So a method to calculate t…
This paper gives an accessible (but still technical) self-contained proof to the fact that the intersection probabilities for planar Brownian motion are given in terms of the intersection exponents, up to a bounded multiplicative error, and some closely related results. While most of the results are already known, the proofs are somewhat new, and the paper can serve as a source for the estimates used in our paper on the analyticity of the Brownian intersection exponents (math.PR/0005295).
Let B_t^H be a d-dimensional fractional Brownian motion with Hurst parameter H\in(0,1). Assume d\geq2. We prove that the renormalized self-intersection local time\ell=\int_0^T\int_0^tδ(B_t^H-B_s^H) ds dt -E\biggl(\int_0^T\int_0^tδ(B_t^H-B_s^H) ds dt\biggr) exists in L^2 if and only if H<3/(2d), which generalizes the Varadhan renormalization theorem to any dimension and with any Hurst parameter. Motivated by a result of Yor, we show that in the case 3/4>H\geq\frac{3}{2d}, r(ε)\ell_ε converges in distribution to a normal law N(0,Tσ^2), as εtends to zero, where \ell_ε is an approximation of \ell,…
Let β_k(n) be the number of self-intersections of order k, appropriately renormalized, for a mean zero random walk X_n in Z^2 with 2+δmoments. On a suitable probability space we can construct X_n and a planar Brownian motion W_t such that for each k\geq 2, |β_k(n)-γ_k(n)|=O(n^{-a}), a.s. for some a>0 where γ_k(n) is the renormalized self-intersection local time of order k at time 1 for the Brownian motion W_{nt}/\sqrt n.
In this note, we investigate the density of the exponential functional of the fractional Brownian motion. Based on the techniques of Malliavin's calculus, we provide a log-normal upper bound for the density.
In this note, we investigate the continuity in law with respect to the Hurst index of the exponential functional of the fractional Brownian motion. Based on the techniques of Malliavin's calculus, we provide an explicit bound on the Kolmogorov distance between two functionals with different Hurst indexes.
We present a two-dimensional extension of an identity in distribution due to Bougerol \cite{Bou} that involves the exponential functional of a linear Brownian motion. Even though this identity does not extend at the level of processes, we point at further striking relations in this direction.
This paper is the first part of our survey on various results about the distribution of exponential type Brownian functionals defined as an integral over time of geometric Brownian motion. Several related topics are also mentioned.
We give necessary and sufficient conditions for the stationary density of semimartingale reflected Brownian motion in a wedge to be written as a finite sum of terms of exponential product form. Relying on geometric ideas reminiscent of the reflection principle, we give an explicit formula for the density in such cases.
In this paper we provide convergence analysis for a class of Brownian queues in tandem by establishing an exponential drift condition. A consequence is the uniform exponential ergodicity for these multidimensional diffusions, including the O'Connell-Yor process. A list of open problems are also presented.
This paper proves conjectures originating in the physics literature regarding the intersection exponents of Brownian motion in a half-plane. For instance, suppose that B and B' are two independent planar Brownian motions started from distinct points in a half-plane H. Then, as $t \to \infty$, $$ P [ B[0,t] \cap B'[0,t] = \emptyset, B[0,t] \cup B'[0,t] \subset H ] = t^{-5/3 + o(1)}.$$ The proofs use ideas and tools developped by the authors in previous papers. We prove that one of the stochastic Loewner evolution processes (with parameter 6, that we will call SLE_6 and which has been conjecture…
We introduce a transform on the class of stochastic exponentials for d-dimensional Brownian motions. Each stochastic exponential generates another stochastic exponential under the transform. The new exponential process is often merely a supermartingale even in cases where the original process is a martingale. We determine a necessary and sufficient condition for the transform to be a martingale process. The condition links expected values of the transformed stochastic exponential to the distribution function of certain time-integrals.
In this work we present expansions of intersection local times of fractional Brownian motions in $\R^d$, for any dimension $d\geq 1$, 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 of D. Nualart and S. Ortiz-Latorre in "Intersection Local Time for Two Independent Frac…
We determine the rate of decay of the expectation Z(t) of some multiplicative functional related to Brownian motion up to time t. This permits to prove that the Wiener measure, penalized by this multiplicative functional, converges as t goes to infinity to a probability measure (p.m.) . We obtain the law of the canonical process under this new p.m.
We first introduce the calculus of Peng's G-Brownian motion on a sublinear expectation space $(Ω, {\cal H}, \hat{\mathbb{E}})$. Then we investigate the exponential stability of paths for a class of stochastic differential equations disturbed by a G-Brownian motion in the sense of quasi surely (q.s.). The analyses consist in G-Lyapunov function and some special inequalities. Various sufficient conditions are obtained to ensure the stability of strong solutions. In particular, by means of our results we generalize the one in the classical stochastic differential equations. Finally, an illustrati…
This is the second part of our survey on exponential functionals of Brownian motion. We focus on the applications of the results about the distributions of the exponential functionals, which have been discussed in the first part. Pricing formula for call options for the Asian options, explicit expressions for the heat kernels on hyperbolic spaces, diffusion processes in random environments and extensions of Lévy's and Pitman's theorems are discussed.
We show that oriented percolation occurs whenever a condition is satisfied called "exponential intersection tails". This condition says that a measure on paths exists for which the probability of two independent paths intersecting in more than k sites is exponentially small in k.
We review some of the results related to conformal restriction: the chordal case and the radial case. We describe Brownian intersection exponents, conformal restriction property and SLE, and study their properties.
We study $γ_{k}(x_2,...,x_k;t)$, the k-fold renormalized self-intersection local time for Brownian motion in $R^1$. Our main result says that $γ_{k}(x_2,...,x_k;t)$ is continuously differentiable in the spatial variables, with probability 1.
This paper determines values of intersection exponents between packs of planar Brownian motions in the half-plane and in the plane that were not derived in our first two papers. For instance, it is proven that the exponent $ξ(3,3)$ describing the asymptotic decay of the probability of non-intersection between two packs of three independent planar Brownian motions each is $(73-2 \sqrt {73}) / 12$. More generally, the values of $ξ(w_1, >..., w_k)$ and $\tx (w_1', ..., w_k')$ are determined for all $ k \ge 2$, $w_1, w_2\ge 1$, $w_3, ...,w_k\in[0,\infty)$ and all $w_1',...,w_k'\in[0,\infty)$. The …
We consider pairs of 3-dimensional Brownian paths, started at the origin and conditioned to have no intersections after time zero. We show that there exists a unique measure on pairs of paths that is invariant under this conditioning, while improving the previously known rate of convergence to stationarity.
