SELF-INTERSECTION LOCAL TIME FOR ${\mathcal S}' ({\mathbb R}^d)$-WIENER PROCESSES AND RELATED ORNSTEIN–UHLENBECK PROCESSES

Abstract

Existence and continuity results are obtained for self-intersection local time of [Formula: see text]-valued Ornstein–Uhlenbeck processes [Formula: see text], where X0 is Gaussian, Wt is an [Formula: see text]-Wiener process (independent of X0), and T't is the adjoint of a semigroup Tt on [Formula: see text]. Two types of covariance kernels for X0 and for W are considered: square tempered kernels and homogeneous random field kernels. The case where Tt corresponds to the spherically symmetric α-stable process in ℝd, α∈(0,2], is treated in detail. The method consists in proving first results for self-intersection local times of the ingredient processes: Wt, T't X0 and [Formula: see text], from which the results for Xt are derived. As a by-product, a class of non-finite tempered measures on ℝd whose Fourier transforms are functions is identified. The tools are mostly analytical.