Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4592027 | Journal of Functional Analysis | 2008 | 26 Pages |
Abstract
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∈(0,1). As a consequence, we derive the existence of some exponential moments for this random variable.
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Physical Sciences and Engineering
Mathematics
Algebra and Number Theory