Intersection local times of independent fractional Brownian motions as generalized white noise functionals

Registro completo de metadados
MetadadosDescriçãoIdioma
Autor(es): dc.creatorOliveira, Maria João-
Autor(es): dc.creatorSilva, José Luís da-
Autor(es): dc.creatorStreit, Ludwig-
Data de aceite: dc.date.accessioned2019-08-21T16:57:15Z-
Data de disponibilização: dc.date.available2019-08-21T16:57:15Z-
Data de envio: dc.date.issued2012-01-12-
Data de envio: dc.date.issued2012-01-12-
Data de envio: dc.date.issued2011-
Fonte completa do material: dc.identifierhttp://hdl.handle.net/10400.2/2033-
Fonte: dc.identifier.urihttp://educapes.capes.gov.br/handle/10400.2/2033-
Descrição: dc.descriptionIn this work we present expansions of intersection local times of fractional Brownian motions in R^d , for any dimension d ≥ 1, with arbitrary Hurst coefficients in (0, 1)^d . The expansions are in terms of Wick powers of white noises (corresponding to multiple Wiener integrals), being well-defined in the sense of generalized white noise functionals. As an application of our approach, a sufficient condition on d for the existence of intersection local times in L^2 is derived, extending the results in Nualart and Ortiz-Latorre (J. Theoret. Probab. 20(4):759–767, 2007) to different and more general Hurst coefficients.-
Idioma: dc.languageen-
Publicador: dc.publisherSpringer-
Relação: dc.relation113-
Relação: dc.relationhttp://www.springerlink.com/content/681n57386r291023/-
Relação: dc.relationDOI 10.1007/s10440-010-9579-1-
Direitos: dc.rightsopenAccess-
Palavras-chave: dc.subjectFractional Brownian motion-
Palavras-chave: dc.subjectWhite noise analysis-
Palavras-chave: dc.subjectLocal time-
Título: dc.titleIntersection local times of independent fractional Brownian motions as generalized white noise functionals-
Tipo de arquivo: dc.typelivro digital-
Aparece nas coleções:Repositório Aberto - Universidade Aberta (Portugal)

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