ON THE COLLISION LOCAL TIME OF BIFRACTIONAL BROWNIAN MOTIONS

被引：9

作者：

Yan, Litan ^{[1
]}

Liu, Junfeng ^{[2
]}

Chen, Chao ^{[2
]}

机构：

[1] Donghua Univ, Dept Math, Shanghai 201620, Peoples R China

[2] E China Univ Sci & Technol, Dept Math, Shanghai 200237, Peoples R China

来源：

STOCHASTICS AND DYNAMICS | 2009年 / 9卷 / 03期

关键词：

Bifractional Brownian motion; collision local time; chaos expansion; INTERSECTIONS; NONDETERMINISM;

D O I：

10.1142/S0219493709002749

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Let B-Hi,B-Ki = {B-t(Hi,Ki) , t >= 0}, i = 1, 2 be two independent bifractional Brownian motions of dimension 1, with indices H-i is an element of (0, 1) and K-i is an element of (0, 1]. We investigate the collision local time of bifractional Brownian motions l(T) = integral(T)(0) delta(B-t(H1,K1) - B-t(H2,K2))dt, 0 < T < infinity, where delta denotes the Dirac delta function at zero. We show that l(T) exists in L-2, and it is Holder continuous of order 1 - min{H1K1, H2K2}, and furthermore, it is also smooth in the sense of Meyer-Watanabe.

引用

页码：479 / 491

页数：13

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