Аннотация:
For a centered Gaussian random field taking its values in d, we investigate the
existence of a local time as a generalized functional, i.e an element of some Sobolev
space. We give the sufficient condition for such an existence in terms of the field
covariation and apply it in several examples: the self-intersection local time for a
fractional Brownian motion and the intersection local time for two Brownian motions.
Ключевые слова:
Local time, Itô–Wiener expansion, Sobolev spaces, Gaussian random field,
fractional Brownian motion.