Intersection local time for two independent fractional Brownian motions
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🧮 math.PR
keywords
intersectionlocaltimebrownianfractionalindependentmotionsassume
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We prove the existence of the intersection local time for two independent, d -dimensional fractional Brownian motions with the same Hurst parameter H. Assume d greater or equal to 2, then the intersection local time exists if and only if Hd<2.
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