Intersection local time for two independent fractional Brownian motions
Probability
2007-05-23 v1
Abstract
We prove the existence of the intersection local time for two independent, d -dimensional fractional Brownian motions with the same Hurst parameter H. Assume d greater or equal to 2, then the intersection local time exists if and only if Hd<2.
Cite
@article{arxiv.0704.1259,
title = {Intersection local time for two independent fractional Brownian motions},
author = {David Nualart and Salvador Ortiz-Latorre},
journal= {arXiv preprint arXiv:0704.1259},
year = {2007}
}