The Annals of Probability

Regularized Self-Intersection Local Times of Planar Brownian Motion

E. B. Dynkin

Full-text: Open access

Abstract

Let $T^\varepsilon_k(\lambda; t_1,\ldots,t_k) = \rho(X_{t_1})q^\varepsilon(X_{t_2} - X_{t_1}) \cdots q^\varepsilon(X_{t_k} - X_{t_k - 1}),$ where $X_t$ is a Brownian motion in $\mathbb{R}^2, \lambda(dx) = \rho(x) dx$ and $q^\varepsilon$ converges to Dirac's delta function as $\varepsilon \downarrow 0$. The self-intersection local times of order $k$ are described by a generalized random field $T_k(\lambda; t_1,\ldots,t_k) = \lim_{\varepsilon\downarrow 0} T^\varepsilon_k(\lambda; t_1,\ldots,t_k), \quad\text{for} 0 < t_1 < \cdots < t_k.$ The field "blows up" as $t_i - t_j \rightarrow 0$ for some $i \neq j$. We show that with a proper choice of the coefficients $B^l_k(\varepsilon)$, a generalized random field $\mathscr{J}_k(\lambda; t_1,\ldots,t_k) = \lim_{\varepsilon\downarrow 0}\big\lbrack T^\varepsilon_k(\lambda; t_1,\ldots,t_k) + \sum^{k - 1}_{l = 1}\lbrack B^l_k(\varepsilon)T^\varepsilon_l\rbrack(\lambda; t_1,\ldots,t_k)\big\rbrack$ is well defined for all $0 \leq t_1 \leq \cdots \leq t_k$ and it coincides with $T_k(\lambda; t_1,\ldots,t_k)$ for $t_1 < \cdots < t_k$.

Article information

Source
Ann. Probab., Volume 16, Number 1 (1988), 58-74.

Dates
First available in Project Euclid: 19 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aop/1176991885

Digital Object Identifier
doi:10.1214/aop/1176991885

Mathematical Reviews number (MathSciNet)
MR920255

Zentralblatt MATH identifier
0641.60085

JSTOR
links.jstor.org

Subjects
Primary: 60G60: Random fields
Secondary: 60J55: Local time and additive functionals 60J65: Brownian motion [See also 58J65]

Keywords
Local times multiple points of the Brownian motion regularization of generalized functions moment functions of random fields

Citation

Dynkin, E. B. Regularized Self-Intersection Local Times of Planar Brownian Motion. Ann. Probab. 16 (1988), no. 1, 58--74. doi:10.1214/aop/1176991885. https://projecteuclid.org/euclid.aop/1176991885


Export citation