CHAOS EXPANSION OF LOCAL TIME OF FRACTIONAL BROWNIAN MOTIONS
نویسندگان
چکیده
منابع مشابه
Intersection Local Time for two Independent Fractional Brownian Motions
Let B and e B be two independent, d-dimensional fractional Brownian motions with Hurst parameter H ∈ (0, 1) . Assume d ≥ 2. We prove that the intersection local time of B and e B I(BH , e BH) = Z
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ژورنال
عنوان ژورنال: Stochastic Analysis and Applications
سال: 2002
ISSN: 0736-2994,1532-9356
DOI: 10.1081/sap-120006109