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On Collision Local Time of Two Independent Subfractional Brownian Motions

Jingjun Guo1, Yanping Xiao2
School of Statistics, Lanzhou University of Finance and Economics, Lanzhou, Gansu, China.
School of Mathematics and Computer Science, Northwest University for Nationalities, Lanzhou, Gansu, China. Corresponding author (Yanping Xiao): hardxiao@126.com.

Computer Modeling in Engineering & Sciences 2015, 109-110(6), 519-536. https://doi.org/10.3970/cmes.2015.109.519

Abstract

We study the existence of collision local time of two independent subfractional Brownian motions with different coefficients in (-1/2,1/2) using an alternative expression. We prove that the collision local time is a Hida distribution based on the canonical framework of white noise analysis, and get chaos expansions. Finally, we show that the collision local time exists in (L2) under appropriate conditions.

Keywords

Subfractional Brownian motion, Collision local time, Hida distribution.

Cite This Article

Guo, J., Xiao, Y. (2015). On Collision Local Time of Two Independent Subfractional Brownian Motions. CMES-Computer Modeling in Engineering & Sciences, 109-110(6), 519–536.



This work is licensed under a Creative Commons Attribution 4.0 International License , which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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