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Integral representation of renormalized self-intersection local times |
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| Authors: | Yaozhong Hu Jian Song |
| Institution: | Department of Mathematics, University of Kansas, Lawrence, KS 66045, USA |
| Abstract: | 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. |
| Keywords: | Fractional Brownian motion Self-intersection local time Clark-Ocone formula Exponential integrability Local nondeterminism Malliavin calculus |
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