Clark representation for self-intersection local times of Gaussian integrators

2018/01/18 by Dorogovtsev, A. A., Izyumtseva, O. L., Salhi, N.
#60G15 #60H05 #60H40 #60J55 #FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1801.06199

Abstract

In present article we prove the existence of multiple self-intersection local times, describe its Ito-Wiener expansion and establish Clark representation for the class of Gaussian integrators generated by operators with a finite dimensional kernel.

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