Functional limit theorem for the self-intersection local time of the fractional Brownian motion (1701.05289v1)

Abstract: Let ${B_{t}}{t\geq0}$ be a $d$-dimensional fractional Brownian motion with Hurst parameter $0<H<1$, where $d\geq2$. Consider the approximation of the self-intersection local time of $B$, defined as \begin{align*} I{T}^{\varepsilon} &=\int_{0}^{T}\int_{0}^{t}p_{\varepsilon}(B_{t}-B_{s})dsdt, \end{align*} where $p_\varepsilon(x)$ is the heat kernel. We prove that the process ${I_{T}^{\varepsilon}-\mathbb{E}\left[I_{T}^{\varepsilon}\right]}_{T\geq0}$, rescaled by a suitable normalization, converges in law to a constant multiple of a standard Brownian motion for $\frac{3}{2d}<H\leq\frac{3}{4}$ and to a multiple of a sum of independent Hermite processes for $\frac{3}{4}<H<1$, in the space $C[0,\infty)$, endowed with the topology of uniform convergence on compacts.