English

Local times of self-intersection and sample path properties of Volterra Gaussian processes

Probability 2024-09-09 v1 Functional Analysis Methodology

Abstract

We study a Volterra Gaussian process of the form X(t)=0tK(t,s)dW(s),X(t)=\int^t_0K(t,s)d{W(s)}, where WW is a Wiener process and KK is a continuous kernel. In dimension one, we prove a law of the iterated logarithm, discuss the existence of local times and verify a continuous dependence between the local time and the kernel that generates the process. Furthermore, we prove the existence of the Rosen renormalized self-intersection local times for a planar Gaussian Volterra process.

Keywords

Cite

@article{arxiv.2409.04377,
  title  = {Local times of self-intersection and sample path properties of Volterra Gaussian processes},
  author = {Olga Izyumtseva and Wasiur R. KhudaBukhsh},
  journal= {arXiv preprint arXiv:2409.04377},
  year   = {2024}
}

Comments

25 pages, no figures