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.     

Intersections and polar functions of fractional brownian sheets

Let B^H={B^H（t）,t∈R^N＋}be a real-valued（N,d）fractional Brownian sheet with Hurst index H=（H1,…,HN）.The characteristics of the polar functions for B^H are discussed.The relationship between the class of continuous functions satisfying Lipschitz condition and the class of polar-functions of B^H is obtained.The Hausdorff dimension about the fixed points and the inequality about the Kolmogorov’s entropy index for B^H are presented.Furthermore,it is proved that any two independent fractional Brownian sheets are nonintersecting in some conditions.A problem proposed by LeGall about the existence of no-polar continuous functions satisfying the Holder condition is also solved.     

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.     

Local times of stochastic differential equations driven by fractional Brownian motions

In this paper, we study the existence and (Hölder) regularity of local times of stochastic differential equations driven by fractional Brownian motions. In particular, we show that in one dimension and in the rough case $H<1/2$, the Hölder exponent (in $t$) of the local time is $1?H$, where $H$ is the Hurst parameter of the driving fractional Brownian motion.     

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.     

Some linear fractional stochastic equations

Using the multiple stochastic integrals, we prove an existence and uniqueness result for a linear stochastic equation driven by the fractional Brownian motion with any Hurst parameter. We study both the one- and two-parameter cases. When the drift is zero, we show that in the one-parameter case the solution is an exponential—thus positive—function while in the two-parameter setting the solution is negative on a non-negligible set.     

Smoothness for the collision local times of bifractional Brownian motions

Let BHi,Ki={BtHi,Ki,t≥0},i=1,2 be two independent bifractional Brownian motions with respective indices H i ∈(0,1) and K i ∈(0,1].One of the main motivations of this paper is to investigate the smoothness of the collision local time,introduced by Jiang and Wang in 2009,lT = integral(δ(BsH1,K1-BsH2,K2)ds) from n=0 to T,T > 0,where δ denotes the Dirac delta function.By an elementary method,we show that T is smooth in the sense of the Meyer-Watanabe if and only if min{H1K1,H2K2} <1/3.     

Polar functions of multiparameter bifractional Brownian sheets

Let B^H,K ： （B^H,K（t）, t ∈R＋^N} be an （N,d）-bifractional Brownian sheet with Hurst indices H = （H1,..., HN） ∈ （0, 1）^N and K = （K1,..., KN）∈ （0, 1]^N. The characteristics of the polar functions for B^H,K are investigated. The relationship between the class of continuous functions satisfying the Lipschitz condition and the class of polar-functions of B^H,K is presented. The Hausdorff dimension of the fixed points and an inequality concerning the Kolmogorov＇s entropy index for B^H,K are obtained. A question proposed by LeGall about the existence of no-polar, continuous functions statisfying the Holder condition is also solved.     

Hausdorff and Packing Measures of the Level Sets of Iterated Brownian Motion

Burdzy and Khoshnevisan⁽⁹⁾ have shown that the Hausdorff dimension of the level sets of an iterated Brownian motion (IBM) is equal to 3/4. In this paper, the exact Hausdorff measure function and the packing measure of the levels set of IBM are given. Our approach relies on some accurate analysis on the local asymptotic of local times.     

Kahane using brownian local times of intersection

We show that if a set E in the positive real line has Hausdorff dimension greater than d/2 m, then the m-fold algebraic sum of the image of E by d-dimensional Brownian motion has an interior point. This extends a result of Kahane. The proof uses techniques found in Rosen (1983) and Geman, Horowitz and Rosen. We then show that the results do not hold for random sets and demonstrate that the above condition on the Hausdorff dimension of E is not close to being necessary     

Intersection Local Time for Two Independent Fractional Brownian Motions

Let B ^H and 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 ^H and

Weak convergence to the fractional Brownian sheet using martingale differences

We establish an invariance principle for the fractional Brownian sheet, starting from discrete random fields constructed from two-parameter strong martingales. This is an approximation in law of the fractional Brownian sheet in Skorohord space in the plane.     

Differentiation formula in Stratonovich version for fractional Brownian sheet

We introduce two types of the Stratonovich stochastic integrals for two-parameter processes, and investigate the relationship of these Stratonovich integrals and various types of Skorohod integrals with respect to a fractional Brownian sheet. By using this relationship, we derive a differentiation formula in the Stratonovich sense for fractional Brownian sheet through Itô formula. Also the relationship between the two types of the Stratonovich integrals will be obtained and used to derive a differentiation formula in the Stratonovich sense. In this case, our proof is based on the repeated applications of differentiation formulas in the Stratonovich form for one-parameter Gaussian processes.     

Brownian intersection local times: Exponential moments and law of large masses

Consider independent Brownian motions in , each running up to its first exit time from an open domain , and their intersection local time as a measure on . We give a sharp criterion for the finiteness of exponential moments,

where are nonnegative, bounded functions with compact support in . We also derive a law of large numbers for intersection local time conditioned to have large total mass.

     

Almost-sure path properties of fractional Brownian sheet

The almost sure sample function behavior of the vector-valued fractional Brownian sheet is investigated. In particular, the global and the local moduli of continuity of the sample functions are studied. These results give precise information about the continuity and the oscillation behavior of the sample functions.     

Parameter estimation for stochastic equations with additive fractional Brownian sheet

We study the maximum likelihood estimator for stochastic equations with additive fractional Brownian sheet. We use the Girsanov transform for the the two-parameter fractional Brownian motion, as well as the Malliavin calculus and Gaussian regularity theory.      

Brownian and fractional Brownian stochastic currents via Malliavin calculus

By using Malliavin calculus and multiple Wiener-Itô integrals, we study the existence and the regularity of stochastic currents defined as Skorohod (divergence) integrals with respect to the Brownian motion and to the fractional Brownian motion. We consider also the multidimensional multiparameter case and we compare the regularity of the current as a distribution in negative Sobolev spaces with its regularity in the Watanabe spaces.     

Various types of stochastic integrals with respect to fractional Brownian sheet and their applications

In this paper, we develop a stochastic calculus related to a fractional Brownian sheet as in the case of the standard Brownian sheet. Let be a fractional Brownian sheet with Hurst parameters H=(H₁,H₂), and (²[0,1],B(²[0,1]),μ) a measure space. By using the techniques of stochastic calculus of variations, we introduce stochastic line integrals along all sufficiently smooth curves γ in ²[0,1], and four types of stochastic surface integrals: , i=1,2, , , , . As an application of these stochastic integrals, we prove an Itô formula for fractional Brownian sheet with Hurst parameters H₁,H₂∈(1/4,1). Our proof is based on the repeated applications of Itô formula for one-parameter Gaussian process.