Integral representation of renormalized self-intersection local times
Probability
2008-06-24 v1
Abstract
In this paper we apply Clark-Ocone formula to deduce an explicit integral representation for the renormalized self-intersection local time of the % -dimensional fractional Brownian motion with Hurst parameter . As a consequence, we derive the existence of some exponential moments for this random variable.
Keywords
Cite
@article{arxiv.0806.3706,
title = {Integral representation of renormalized self-intersection local times},
author = {Yaozhong Hu and David Nualart and Jian Song},
journal= {arXiv preprint arXiv:0806.3706},
year = {2008}
}