The intersection local time of fractional Brownian motion in the plane

We show how to renormalize the intersection local time of fractional Brownian motion of index [beta] in the plane, whenÂ½< [beta] <Â¾. When[beta] = Â½, i.e., planar Brownian, such a renormalization is due to Varadhan.

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Year of publication:	1987
Authors:	Rosen, Jay
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 23.1987, 1, p. 37-46
Publisher:	Elsevier
Keywords:	fractional Brownian motion intersection local time renormalization

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

Persistent link: https://www.econbiz.de/10005221733