Collision local times of two independent fractional Brownian motions

doi:10.1007/s11464-011-0095-z

Front Math Chin

2011, Vol. 6

Issue (2) : 325-338 https://doi.org/10.1007/s11464-011-0095-z

RESEARCH ARTICLE

Collision local times of two independent fractional Brownian motions

Xiangjun WANG¹, Jingjun GUO^1,2(

), Guo JIANG^1,3

1. School of Mathematics and Statistics, Huazhong University of Science and Technology, Wuhan 430074, China; 2. School of Statistics, Lanzhou University of Finance and Economics, Lanzhou 730020, China; 3. School of Mathematics and Statistics, Hubei Normal University, Huangshi 435002, China

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Abstract

In this paper, the collision local times for two independent fractional Brownian motions are considered as generalized white noise functionals. Moreover, the collision local times exist in L² under mild conditions and chaos expansions are also given.

Keywords Fractional Brownian motion collision local time white noise functional

Corresponding Author(s): GUO Jingjun,Email:gjjemail@126.com

Issue Date: 01 April 2011

Cite this article:

Xiangjun WANG,Jingjun GUO,Guo JIANG. Collision local times of two independent fractional Brownian motions[J]. Front Math Chin, 2011, 6(2): 325-338.

URL:

https://academic.hep.com.cn/fmc/EN/10.1007/s11464-011-0095-z
https://academic.hep.com.cn/fmc/EN/Y2011/V6/I2/325

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