Integral representation of renormalized self-intersection local times

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In this paper we apply Clark-Ocone formula to deduce an explicit integral representation for the renormalized self-intersection local time of the $d$% -dimensional fractional Brownian motion with Hurst parameter $H\in (0,1)$. As a consequence, we derive the existence of some exponential moments for this random variable.

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Probability

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http://salesiana.dossiersoluciones.com/handle/123456789/163443

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/0806.3706
 http://arxiv.org/abs/0806.3706

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arXiv