On the Collision Local Time of FractionalBrownian Motions*

Abstract

In this paper, the existence and smoothness of the collision local time areproved for two independent fractional Brownian motions, through L ² convergence andChaos expansion. Furthermore, the regularity of the collision local time process is studied.

Keywords

Collision local time / Fractional Brownian motion / Chaos expansion / Hölder continuity / 60G15 / 60G18

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