On the collision local time of sub-fractional Brownian motions

Litan Yan and Guangjun Shen

Statistics & Probability Letters, 2010, vol. 80, issue 5-6, 296-308

Abstract: Let , i=1,2, be two independent sub-fractional Brownian motions with respective indices Hi[set membership, variant](0,1). We consider the so-called collision local time where [delta] denotes the Dirac delta function. By an elementary method we show that lT is smooth in the sense of Meyer and Watanabe if and only if min{H1,H2}

Date: 2010
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