Frontiers of Mathematics in China >

2011 , Vol. 6 >Issue 2: 325 - 338

DOI: https://doi.org/10.1007/s11464-011-0095-z

RESEARCH ARTICLE

Collision local times of two independent fractional Brownian motions

  • Xiangjun WANG 1 ,
  • Jingjun GUO , 1,2 ,
  • Guo JIANG 1,3
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  • 1. School of Mathematics and Statistics, Huazhong University of Science and Technology, Wuhan 430074, China
  • 2. School of Statistics, Lanzhou University of Finance and Economics, Lanzhou 730020, China
  • 3. School of Mathematics and Statistics, Hubei Normal University, Huangshi 435002, China

Received date: 09 Oct 2010

Accepted date: 18 Nov 2010

Published date: 01 Apr 2011

Copyright

2014 Higher Education Press and Springer-Verlag Berlin Heidelberg
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Abstract

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 L2 under mild conditions and chaos expansions are also given.

Key words： Fractional Brownian motion; collision local time; white noise functional

Cite this article

Xiangjun WANG , Jingjun GUO , Guo JIANG . Collision local times of two independent fractional Brownian motions[J]. Frontiers of Mathematics in China, 2011 , 6(2) : 325 -338 . DOI: 10.1007/s11464-011-0095-z

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