Regularity of local times of random fields

In this paper, we study the fractional smoothness of local times of general processes starting from the occupation time formula, and obtain the quasi-sure existence of local times in the sense of the Malliavin calculus. This general result is then applied to the local times of N-parameter d-dimensional Brownian motions, fractional Brownian motions and the self-intersection local time of the 2-dimensional Brownian motion, as well as smooth semimartingales.     

Self-intersection local times and collision local times of bifractional Brownian motions

In this paper, we consider the local time and the self-intersection local time for a bifractional Brownian motion, and the collision local time for two independent bifractional Brownian motions. We mainly prove the existence and smoothness of the self-intersection local time and the collision local time, through the strong local nondeterminism of bifractional Brownian motion, L2 convergence and Chaos expansion.     

Collision local times of two independent fractional Brownian motions

In this paper, the collision local times for two independent fractional Brownian motions are considered as generalized white noise functionals. Moreover, the collision local times exist in L ² under mild conditions and chaos expansions are also given.     

Integral representation of renormalized self-intersection local times

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∈(0,1). As a consequence, we derive the existence of some exponential moments for this random variable.     

Large and moderate deviations for intersection local times

We study the large and moderate deviations for intersection local times generated by, respectively, independent Brownian local times and independent local times of symmetric random walks. Our result in the Brownian case generalizes the large deviation principle achieved in Mansmann (1991) for the L ₂-norm of Brownian local times, and coincides with the large deviation obtained by Csörgö, Shi and Yor (1991) for self intersection local times of Brownian bridges. Our approach relies on a Feynman-Kac type large deviation for Brownian occupation time, certain localization techniques from Donsker-Varadhan (1975) and Mansmann (1991), and some general methods developed along the line of probability in Banach space. Our treatment in the case of random walks also involves rescaling, spectral representation and invariance principle. The law of the iterated logarithm for intersection local times is given as an application of our deviation results.Supported in part by NSF Grant DMS-0102238Supported in part by NSF Grant DMS-0204513 Mathematics Subject Classification (2000):Primary: 60J55; Secondary: 60B12, 60F05, 60F10, 60F15, 60F25, 60G17, 60J65     

Fractional normal inverse Gaussian diffusion

A fractional normal inverse Gaussian (FNIG) process is a fractional Brownian motion subordinated to an inverse Gaussian process. This paper shows how the FNIG process emerges naturally as the limit of a random walk with correlated jumps separated by i.i.d. waiting times. Similarly, we show that the NIG process, a Brownian motion subordinated to an inverse Gaussian process, is the limit of a random walk with uncorrelated jumps separated by i.i.d. waiting times. The FNIG process is also derived as the limit of a fractional ARIMA processes. Finally, the NIG densities are shown to solve the relativistic diffusion equation from statistical physics.     

Example of a Gaussian Self-Similar Field With Stationary Rectangular Increments That Is Not a Fractional Brownian Sheet

We consider anisotropic self-similar random fields, in particular, the fractional Brownian sheet (fBs). This Gaussian field is an extension of fractional Brownian motion. It is well known that the fractional Brownian motion is a unique Gaussian self-similar process with stationary increments. The main result of this article is an example of a Gaussian self-similar field with stationary rectangular increments that is not an fBs. So we proved that the structure of self-similar Gaussian fields can be substantially more involved then the structure of self-similar Gaussian processes. In order to establish the main result, we prove some properties of covariance function for self-similar fields with rectangular increments. Also, using Lamperti transformation, we obtain properties of covariance function for the corresponding stationary fields.     

On the Collision Local Time of Fractional Brownian Motions

In this paper, the existence and smoothness of the collision local time are proved for two independent fractional Brownian motions, through L2 convergence and Chaos expansion. Furthermore, the regularity of the collision local time process is studied.     

分式Brownian运动的多重相交局部时

本文研究了分式布朗运动的多重相交局部时的问题.利用白噪声分析的方法,获得了分式布朗运动的多重相交局部时的展开式.进行适当的截取,展开式在白噪声广义泛函意义下存在,并给出它们的核函数.推广了布朗运动的多重相交局部时.     

Hilbert-valued self-intersection local times for planar Brownian motion

Dynkin's construction for self-intersection local time of a planar Wiener process is extended to Hilbert-valued weights. In Dynkin's construction, the weight is bounded and measurable. Since the weight function describes the properties of the medium in which the Brownian motion moves, relative to the external medium's properties, the weight function can be random and unbounded. In this article, we discuss the possibility to consider Hilbert-space-valued weights. It appears that the existence of Hilbert-valued Dynkin-renormalized self-intersection local time is equivalent to the embedding of the values of Hilbert-valued weight into a Hilbert–Schmidt brick. Using Dorogovtsev's sufficient condition for the embedding of compact sets into a Hilbert–Schmidt brick in terms of an isonormal process, we prove the existence of Hilbert-valued Dynkin-renormalized self-intersection local time. Also using Dynkin's construction we construct the self-intersection local time for the deterministic image of the planar Wiener process.     

Fast and exact synthesis of some operator scaling Gaussian random fields

Operator scaling Gaussian random fields, as anisotropic generalizations of self-similar fields, know an increasing interest for theoretical studies in the literature. However, up to now, they were only defined through stochastic integrals, without explicit covariance functions. In this paper we exhibit explicit covariance functions, as anisotropic generalizations of fractional Brownian fields ones, and define corresponding Operator scaling Gaussian random fields. This allows us to propose a fast and exact method of simulation in dimension 2 based on the circulant embedding matrix method, following ideas of Stein [34] for fractional Brownian surfaces syntheses. This is a first piece of work to popularize these models in anisotropic spatial data modeling.     

Some Results on Fractional Brownian Sheets and Their Local Times

Let B0^H = {B0^H（t）,t ∈ R＋^N） be a real-valued fractional Brownian sheet. Define the （N,d）- Gaussian random field B^H by
B^H（t） = （B1^H（t）,...,Bd^H（t）） t ∈ R＋^N, where B1^H, ..., Bd^H are independent copies of B0^H. The existence and joint continuity of local times of B^H is proven in some given conditions in [22]. We then study further properties of the local times of B^H, such as the moments of increments of local times, the large increments and the maximum moduli of continuity of local times and as a result, we answer the questions posed in [22].     

Fast and Exact Simulation of Fractional Brownian Surfaces

Fractional Brownian surfaces are commonly used as models for landscapes and other physical processes in space. This work shows how to simulate fractional Brownian surfaces on a grid efficiently and exactly by embedding them in a periodic Gaussian random field and using the fast Fourier transform. Periodic embeddings are given that are proven to yield positive definite covariance functions and hence yield exact simulations for all possible densities of the simulation grid. Numerical results show these embeddings can sometimes be made more efficient in practice. Further numerical results show how the ideas developed for simulating fractional Brownian surfaces can be used for simulating other Gaussian random fields. The simulation methodology is used to study the behavior of a simple estimator of the parameters of a fractional Brownian surface.     

Multifractional Vector Brownian Motions,Their Decompositions,and Generalizations

This article introduces three types of covariance matrix structures for Gaussian or elliptically contoured vector random fields in space and/or time, which include fractional, bifractional, and trifractional vector Brownian motions as special cases, and reveals the relationships among these vector random fields, with an orthogonal decomposition established for the multifractional vector Brownian motion.     

On the existence of local times: A geometric study

We present a general study relating the geometry of the graph of a real function to the existence of local times for the function. The general results obtained are applied to Gaussian processes, and we show that with probability 1 the sample functions of a nondifferentiable stationary Gaussian process with local times will be Jarnik functions. This extends earlier works of Lifschitz and Pitt, which gave examples of Gaussian processes without local times. An example is given of a Jarnik function without local times, thus answering negatively a question raised by Geman and Horowitz.     

Brownian local times

The purpose of this paper is to present in a more or less self-contained way the chief facts about the local times t of one-dimensional Brownian motion due to P. Lévy, F. Knight, D. B. Ray, and Itô-McKean. The deepest part concerns the remarkable fact that for a class of stopping times m, such as passage times and independent exponential holding times, the local time t(m, x) is a diffusion relative to its spatial parameter x. The beautiful methods of D. Williams are employed here as being most in the manner of P. Lévy who began the whole thing. The intent is purely expository, and only the main features of the proofs are indicated. A familiarity with the most elementary facts about Brownian motion is assumed. The paper is dedicated to Norman Levinson with affection and respect.     

Random Fields with Multifractional Regularity Order on Heterogenous Fractal Domains

In this article, we study the effect of the geometry of a domain with variable local dimension on the regularity/singularity of the restriction of a multifractional random field on such a domain. The theories of reproducing kernel Hilbert spaces (RKHS) and generalized random fields are applied. Fractional Sobolev spaces of variable order are considered as RKHSs of random fields satisfying certain elliptic multifractional pseudodifferential equations. The multifractal spectra of these random fields are trivial due to the regularity assumptions on the variable order of the fractional derivatives. In this article, we introduce a family of RKHSs defined by isomorphic identification with the trace on a compact heterogeneous fractal domain of a fractional Sobolev space of variable order. The local regularity/singularity order of functions in these spaces, which depends on the variable order of the fractional Sobolev space considered and on the local dimension of the domain, is derived. We also study the spectral properties of the family of models introduced in the mean-square sense. In the Gaussian case, random fields with sample paths having multifractional local Hölder exponent are covered in this framework.     

Local nondeterminism and local times for stable processes

Summary Our main theorem gives sufficient conditions for symmetric stable processes and fields to have a jointly continuous local time. The approach is through the L ^p representation for such processes. We develop a measure of dependence for vectors in a normed linear space and use that to analyze the probabilistic independence of the increments of a stable process. Local nondeterminism is defined for stable processes and shown to be equivalent to locally approximately independent increments. Sufficient conditions for several classes of stable processes to be local nondeterministic are given. These ideas are extended to multidimensional stable random fields and we prove existence of jointly continuous local times. The results extend most Gaussian results to their stable analogs.     

On the Tanaka formula for the derivative of self-intersection local time of fractional Brownian motion

The derivative of self-intersection local time (DSLT) for Brownian motion was introduced by Rosen (2005) and subsequently used by others to study the L²$L^2$ and L³$L^3$ moduli of continuity of Brownian local time. A version of the DSLT for fractional Brownian motion (fBm) was introduced in Yan et al. (2008); however, the definition given there presents difficulties, since it is motivated by an incorrect application of the fractional Itô formula. To rectify this, we introduce a modified DSLT for fBm and prove existence using an explicit Wiener chaos expansion. We will then argue that our modification is the natural version of the DSLT by rigorously proving the corresponding Tanaka formula. This formula corrects a formal identity given in both Rosen (2005) and Yan et al. (2008). In the course of this endeavor we prove a Fubini theorem for integrals with respect to fBm. The Fubini theorem may be of independent interest, as it generalizes (to Hida distributions) similar results previously seen in the literature. As a further byproduct of our investigation, we also provide a small correction to an important technical second-moment bound for fBm which has appeared in the literature many times.     

Local times of fractional Brownian sheets

 Let be a real-valued fractional Brownian sheet. Consider the (N, d) Gaussian random field B ^H defined by