THE LOCAL TIME OF THE LINEAR SELF-ATTRACTING DIFFUSION DRIVEN BY WEIGHTED FRACTIONAL BROWNIAN MOTION

被引：2
作者：
Chen, Qin [1 ]
Shen, Guangjun [2 ]
Wang, Qingbo [3 ]
机构：
[1] Fuyang Normal Univ, Dept Math, Fuyang 236037, Peoples R China
[2] Chuzhou Univ, Sch Math & Finance, Chuzhou 239000, Peoples R China
[3] Anhui Normal Univ, Dept Math, Wuhu 241000, Peoples R China
来源：
BULLETIN OF THE KOREAN MATHEMATICAL SOCIETY | 2020年 / 57卷 / 03期
基金：
中国国家自然科学基金;
关键词：
Weighted fractional Brownian motion; self-attracting diffusion; intersection local time; STOCHASTIC CALCULUS; CONVERGENCE; LIMITS;
D O I：
10.4134/BKMS.b180852
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
In this paper, we introduce the linear self-attracting diffusion driven by a weighted fractional Brownian motion with weighting exponent a > -1 and Hurst index vertical bar b vertical bar < a + 1, 0 < b < 1, which is analogous to the linear fractional self-attracting diffusion. For the 1-dimensional process we study its convergence and the corresponding weighted local time. As a related problem, we also obtain the renormalized intersection local time exists in L-2 if max {a(1) + b(1), a(2) + b(2)} < 0.
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页码：547 / 568
页数：22
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