Self-intersection local time: Critical exponent, large deviations, and laws of the iterated logarithm

By Richard F. Bass, Xia Chen. 2004

48 citations recorded by the source corpus.

If β t is renormalized self-intersection local time for planar Brownian motion, we characterize when Ee γβ 1 is finite or infinite in terms of the best constant of a Gagliardo-Nirenberg inequality. We prove large deviation estimates for β 1 and -β 1 . We establish lim sup and lim inf laws of the iterated logarithm for β t as t → ∞.

Subfields: Finance, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/0dbe15d6f64c7783a9eee5b565a023b27f69fe22

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In Finance

1. David Nualart
2. Yaozhong Hu
3. Ciprian A. Tudor
4. Frederi G. Viens
5. Ivan Nourdin
6. Khalifa Es-Sebaiy
7. Giovanni Peccati
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In Mathematical Physics

1. David Nualart
2. Yaozhong Hu
3. Ciprian A. Tudor
4. Frederi G. Viens
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6. Khoa Le

Citations in the corpus

• Stochastic heat equation driven by fractional noise and local time (2007, background): “References [1] R. F. Bass and Xia Chen: Self-intersection local time: Critical exponent, large deviations, and laws of the iterated logarithm.”