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JOURNALS // Theory of Stochastic Processes // Archive

Theory Stoch. Process., 2015 Volume 20(36), Issue 1, Pages 1–13 (Mi thsp93)

On self-intersection local times for generalized Brownian bridges and the distance between step functions

A. A. Dorogovtsev, O. L. Izyumtseva

Institute of Mathematics, National Academy of Sciences of Ukraine Tereshchenkivska Str. 3, Kiev 01601, Ukraine

Abstract: In the paper $k$-multiple self-intersection local time for planar Gaussian integrators generated by linear operator with nontrivial kernel is studied. In this case additional singularities arise in its formal Fourier-Wiener transform. In case $k=2$ the set of singularities is the finite number of points. In case $k>2$ it contains intervals and hyperplanes. In the first and the second cases using two different approaches related on structure of set of singularities we show that "new" singularities do not imply on the convergence of integral corresponding to the formal Fourier-Wiener transform and regularization consist of compensation of impact of diagonals as for the Wiener process.

Keywords: Gaussian integrators, white noise, self-intersection local time, Fourier-Wiener transform.

MSC: 60G15, 60H40, 60J55, 46C05

Language: English



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