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Smoothness for the collision local time of two multidimensional bifractional Brownian motions

Guangjun ShenLitan YanChao Chen — 2012

Czechoslovak Mathematical Journal

Let B H i , K i = { B t H i , K i , t 0 } , i = 1 , 2 be two independent, d -dimensional bifractional Brownian motions with respective indices H i ( 0 , 1 ) and K i ( 0 , 1 ] . Assume d 2 . One of the main motivations of this paper is to investigate smoothness of the collision local time T = 0 T δ ( B s H 1 , K 1 - B s H 2 , K 2 ) d s , T > 0 , where δ denotes the Dirac delta function. By an elementary method we show that T is smooth in the sense of Meyer-Watanabe if and only if min { H 1 K 1 , H 2 K 2 } < 1 / ( d + 2 ) .

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