Critical Dimensions for the Existence of Self-Intersection Local Times of the N-Parameter Brownian Motion in Rd

Peter Imkeller, Ferenc Weisz

Research output: Article

1 Citation (Scopus)

Abstract

Fix two rectangles A, B in [0, 1]N. Then the size of the random set of double points of the N-parameter Brownian motion (Wt)t∈[0, 1]N in Rd, i.e, the set of pairs (s, t), where s ∈ A, t ∈ B, and Ws = Wt, can be measured as usual by a self-intersection local time. If A = B, we show that the critical dimension below which self-intersection local time does not explode, is given by d = 2N. If A ∩ B is a p-dimensional rectangle, it is 4N - 2p (0 ≤ p ≤ N). If A ∩B = ∅, it is infinite. In all cases, we derive the rate of explosion of canonical approximations of self-intersection local time for dimensions above the critical one, and determine its smoothness in terms of the canonical Dirichlet structure on Wiener space.

Original languageEnglish
Pages (from-to)721-737
Number of pages17
JournalJournal of Theoretical Probability
Volume12
Issue number3
DOIs
Publication statusPublished - jan. 1 1999

ASJC Scopus subject areas

  • Statistics and Probability
  • Mathematics(all)
  • Statistics, Probability and Uncertainty

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