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On the Collision Local Time of Fractional Brownian Motions*

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Abstract

In this paper, the existence and smoothness of the collision local time are proved for two independent fractional Brownian motions, through L 2 convergence and Chaos expansion. Furthermore, the regularity of the collision local time process is studied.

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Authors and Affiliations

  1. LPMC, School of Mathematical Sciences, Nankai University, Tianjin, 300071, China

    Yiming Jiang

  2. LPMC, School of Mathematical Sciences, Nankai University, Tianjin, 300071, China

    Yongjin Wang

Authors
  1. Yiming Jiang
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  2. Yongjin Wang
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Correspondence to Yiming Jiang.

Additional information

*Project supported by the National Natural Science Foundation of China (No. 10471003).

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Jiang, Y., Wang, Y. On the Collision Local Time of Fractional Brownian Motions*. Chin. Ann. Math. Ser. B 28, 311–320 (2007). https://doi.org/10.1007/s11401-006-0029-3

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  • DOI: https://doi.org/10.1007/s11401-006-0029-3

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