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JOURNALS // Theory of Stochastic Processes // Archive

Theory Stoch. Process., 2007 Volume 13(29), Issue 3, Pages 65–79 (Mi thsp230)

Local time as an element of the Sobolev space

Alexey V. Rudenko

Institute of Mathematics, Kyiv, Ukraine

Abstract: 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.

Keywords: Local time, Itô–Wiener expansion, Sobolev spaces, Gaussian random field, fractional Brownian motion.

MSC: 60H07

Language: English



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