A remark on non-smoothness of the self-intersection local time of planar Brownian motion

Sergio Albeverio, Yaozhong Hu and Xian Yin Zhou

Statistics & Probability Letters, 1997, vol. 32, issue 1, 57-65

Abstract: Using the Itô-Wiener chaos expansion we prove that the normalized self-intersection local time of planar Brownian motion is not differentiable in the sense of Meyer-Watanabe.

Keywords: Chaos; expansion; Self-intersection; local; time; Polymer; measure; Stochastic; quantization (search for similar items in EconPapers)
Date: 1997
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