Martingale Approximation for Self-Intersection Local Time of Brownian Motion

Margarida de Faria (), Anis Rezgui () and Ludwig Streit ()
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Margarida de Faria: Universidade da Madeira, CCM
Anis Rezgui: Univ. Bielefeld, ZiF
Ludwig Streit: Universidade da Madeira, CCM

A chapter in Proceedings of the International Conference on Stochastic Analysis and Applications, 2004, pp 95-106 from Springer

Abstract: Abstract Given that each term of the multiple Wiener integral expansion for the renormalized self-intersection local time of higher dimensional Brownian motion converges in law to another, independent Brownian motion we resum the leading, martingale parts of these terms in closed form and also represent this sum as a stochastic integral.

Keywords: Brownian motion; white noise; Primary 60J65; Secondary 60H40 (search for similar items in EconPapers)
Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4020-2468-9_7

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DOI: 10.1007/978-1-4020-2468-9_7

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