ON COLLISION LOCAL TIME OF TWO INDEPENDENT FRACTIONAL ORNATEIN-UHLENBECK PROCESSES

doi:10.1016/S0252-9602(17)30004-8

数学物理学报(英文版) ›› 2017, Vol. 37 ›› Issue (2): 316-328.doi: 10.1016/S0252-9602(17)30004-8

ON COLLISION LOCAL TIME OF TWO INDEPENDENT FRACTIONAL ORNATEIN-UHLENBECK PROCESSES

郭精军¹, 李楚进²

1. School of Statistics, Lanzhou University of Finance and Economics, Lanzhou 730020, China;
2. School of Mathematics and Statistics, Huazhong University of Science and Technology, Wuhan 430074, China

收稿日期:2015-05-06 修回日期:2016-05-06 出版日期:2017-04-25 发布日期:2017-04-25
通讯作者: Chujin LI,E-mail:lichujin@hust.edu.cn E-mail:lichujin@hust.edu.cn
作者简介:Jingjun GUO,E-mail:guojj@lzufe.edu.cn;Chujin LI,E-mail:lichujin@hust.edu.cn
基金资助:
The first author is supported by the National Natural Science Fundation of China (71561017), the Science and Technology Plan of Gansu Province (1606RJZA041), and the Youth Plan of Academic Talent of Lanzhou University of Finance and Economics; the second author is supported by the Fundamental Research Funds for the Central Universities (HUST2015QT005).

ON COLLISION LOCAL TIME OF TWO INDEPENDENT FRACTIONAL ORNATEIN-UHLENBECK PROCESSES

Jingjun GUO¹, Chujin LI²

1. School of Statistics, Lanzhou University of Finance and Economics, Lanzhou 730020, China;
2. School of Mathematics and Statistics, Huazhong University of Science and Technology, Wuhan 430074, China

Received:2015-05-06 Revised:2016-05-06 Online:2017-04-25 Published:2017-04-25
Contact: Chujin LI,E-mail:lichujin@hust.edu.cn E-mail:lichujin@hust.edu.cn
Supported by:
The first author is supported by the National Natural Science Fundation of China (71561017), the Science and Technology Plan of Gansu Province (1606RJZA041), and the Youth Plan of Academic Talent of Lanzhou University of Finance and Economics; the second author is supported by the Fundamental Research Funds for the Central Universities (HUST2015QT005).

摘要/Abstract

摘要：

In this article, we study the existence of collision local time of two independent d-dimensional fractional Ornstein-Uhlenbeck processes X_t^H1 and X_t^H2, with different parameters H_i ∈ (0,1), i=1,2. Under the canonical framework of white noise analysis, we characterize the collision local time as a Hida distribution and obtain its' chaos expansion.

关键词: Collision local time, fractional Ornstein-Uhlenbeck processes, generalized white noise functionals, choas expansion

Abstract:

Key words: Collision local time, fractional Ornstein-Uhlenbeck processes, generalized white noise functionals, choas expansion

郭精军, 李楚进. ON COLLISION LOCAL TIME OF TWO INDEPENDENT FRACTIONAL ORNATEIN-UHLENBECK PROCESSES[J]. 数学物理学报(英文版), 2017, 37(2): 316-328.

Jingjun GUO, Chujin LI. ON COLLISION LOCAL TIME OF TWO INDEPENDENT FRACTIONAL ORNATEIN-UHLENBECK PROCESSES[J]. Acta mathematica scientia,Series B, 2017, 37(2): 316-328.

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ON COLLISION LOCAL TIME OF TWO INDEPENDENT FRACTIONAL ORNATEIN-UHLENBECK PROCESSES

ON COLLISION LOCAL TIME OF TWO INDEPENDENT FRACTIONAL ORNATEIN-UHLENBECK PROCESSES

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