摘要
令S^(H_i)={S_t^(H_i),t≥0},i=1,2是指标分别为H_i∈(0,1)的两个独立的d≥2维次分数布朗运动.本文利用混沌展开与初等的不等式给出了S^(H_1)与S^(H_2)的相遇局部时、相交局部时存在性,光滑性的充分必要条件.
Let S^Hi={St^Hi,t≥0},i=1,2 be two independent, d-dimensional sub-fractional Brownian motions with respective indices Hi∈ （0, 1）. Assume d ≥ 2. Our principal results are the necessary and sufficient condition for the existence and smoothness of the collision local time and the intersection local time of S^H1 and S^H2 through chaos expansion and elementary inequalities.
出处
《应用概率统计》
CSCD
北大核心
2015年第5期547-560,共14页
Chinese Journal of Applied Probability and Statistics
基金
supported by the National Natural Science Foundation of China(11271020)
关键词
次分数布朗运动
相遇局部时
相交局部时
混沌展开
Sub-fractional Brownian motion, collision local time, intersection local time, chaos expansion.
