Acta mathematica scientia, Series B >
ON COLLISION LOCAL TIME OF TWO INDEPENDENT FRACTIONAL ORNATEIN-UHLENBECK PROCESSES
Received date: 2015-05-06
Revised date: 2016-05-06
Online published: 2017-04-25
Supported by
The first author is supported by the National Natural Science Fundation of China (71561017), the Science and Technology Plan of Gansu Province (1606RJZA041), and the Youth Plan of Academic Talent of Lanzhou University of Finance and Economics; the second author is supported by the Fundamental Research Funds for the Central Universities (HUST2015QT005).
In this article, we study the existence of collision local time of two independent d-dimensional fractional Ornstein-Uhlenbeck processes XtH1 and XtH2, with different parameters Hi ∈ (0,1), i=1,2. Under the canonical framework of white noise analysis, we characterize the collision local time as a Hida distribution and obtain its' chaos expansion.
Jingjun GUO , Chujin LI . ON COLLISION LOCAL TIME OF TWO INDEPENDENT FRACTIONAL ORNATEIN-UHLENBECK PROCESSES[J]. Acta mathematica scientia, Series B, 2017 , 37(2) : 316 -328 . DOI: 10.1016/S0252-9602(17)30004-8
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