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Local time as an element of the Sobolev space
Alexey V. Rudenko Institute of Mathematics, Kyiv, Ukraine
Аннотация:
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.
Ключевые слова:
Local time, Itô–Wiener expansion, Sobolev spaces, Gaussian random field,
fractional Brownian motion.
Образец цитирования:
Alexey V. Rudenko, “Local time as an element of the Sobolev space”, Theory Stoch. Process., 13(29):3 (2007), 65–79
Образцы ссылок на эту страницу:
https://www.mathnet.ru/rus/thsp230 https://www.mathnet.ru/rus/thsp/v13/i3/p65
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Страница аннотации: | 106 | PDF полного текста: | 54 | Список литературы: | 23 |
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