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Theory of Stochastic Processes, 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
References:
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.
Funding agency Grant number
Ministry of Education and Science of Ukraine projec GP/F13/0095
Research was partially supported by the Ministry of Education and Science of Ukraine, project GP/F13/0095.
Bibliographic databases:
Document Type: Article
MSC: 60H07
Language: English
Citation: Alexey V. Rudenko, “Local time as an element of the Sobolev space”, Theory Stoch. Process., 13(29):3 (2007), 65–79
Citation in format AMSBIB
\Bibitem{Rud07}
\by Alexey~V.~Rudenko
\paper Local time as an element of the Sobolev space
\jour Theory Stoch. Process.
\yr 2007
\vol 13(29)
\issue 3
\pages 65--79
\mathnet{http://mi.mathnet.ru/thsp230}
\mathscinet{https://mathscinet.ams.org/mathscinet-getitem?mr=2396066}
\zmath{https://zbmath.org/?q=an:1199.60197}
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