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A remark on non-smoothness of the self-intersection local time of planar Brownian motion

Author

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  • Albeverio, Sergio
  • Hu, Yaozhong
  • Zhou, Xian Yin

Abstract

Using the Itô-Wiener chaos expansion we prove that the normalized self-intersection local time of planar Brownian motion is not differentiable in the sense of Meyer-Watanabe.

Suggested Citation

  • Albeverio, Sergio & Hu, Yaozhong & Zhou, Xian Yin, 1997. "A remark on non-smoothness of the self-intersection local time of planar Brownian motion," Statistics & Probability Letters, Elsevier, vol. 32(1), pages 57-65, February.
    • Handle: RePEc:eee:stapro:v:32:y:1997:i:1:p:57-65
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    References listed on IDEAS

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    1. Imkeller, Peter & Perez-Abreu, Victor & Vives, Josep, 1995. "Chaos expansions of double intersection local time of Brownian motion in and renormalization," Stochastic Processes and their Applications, Elsevier, vol. 56(1), pages 1-34, March.
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