A remark on non-smoothness of the self-intersection local time of planar Brownian motion

Using the Itô-Wiener chaos expansion we prove that the normalized self-intersection local time of planar Brownian motion is not differentiable in the sense of Meyer-Watanabe.

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Year of publication:	1997
Authors:	Albeverio, Sergio ; Hu, Yaozhong ; Zhou, Xian Yin
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 32.1997, 1, p. 57-65
Publisher:	Elsevier
Keywords:	Chaos expansion Self-intersection local time Polymer measure Stochastic quantization

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005074664