Intersections of Fractional Brownian Motions

Dr. Dongsheng Wu

Department of Mathematical Sciences
UA Huntsville

August 28, 2009
219 Shelby Center
3:00 (Refreshements at 2:30)

Abstract

In this talk, we study the intersection behavior of two independent fractional Brownian motions. First, we provide some integral inequalities used in deriving our results, which may be of their own interest. Then, we prove that the intersection local times of fractional Brownian motions exist, and are joint continuous. Furthermore, we establish the sharp Holder conditions for the intersection local times, and determine the Hausdorff and packing dimensions for the set of intersection times and the set of intersection points. This talk is based on a joint work with Yimin Xiao.