Integral representation of renormalized self-intersection local times

Details Integral representation of renormalized self-intersection local times Integral representation of renormalized self-intersection local times

2008-06-23

arxiv.org/abs/0806.3706v1

Mathematics

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Scientific paper

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 $H\in (0,1)$.
As a consequence, we derive the existence of some exponential moments for
this random variable.

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