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.

引用

页码：547 / 568

页数：22

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