On collision local time of two independent fractional ornstein-uhlenbeck processes |
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| Authors: | Jingjun GUO Chujin LI |
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| Institution: | School of Statistics, Lanzhou University of Finance and Economics, Lanzhou 730020, China;School of Mathematics and Statistics, Huazhong University of Science and Technology, Wuhan 430074, China |
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| Abstract: | In this article, we study the existence of collision local time of two independent d-dimensional fractional Ornstein-Uhlenbeck processes XH1t and X?H2t, with different parameters Hi ∈ (0,1),i = 1, 2. Under the canonical framework of white noise analysis, we characterize the collision local time as a Hida distribution and obtain its' chaos expansion. |
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| Keywords: | Collision local time fractional Ornstein-Uhlenbeck processes generalized white noise functionals choas expansion 60H10 60H40 60G15 60G22 |
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