Random fields associated with multiple points of the Brownian motion

AbstractLet Xt be the Brownian motion in Rd. The random set Γ = {(t1,…, tn, z): Xtl = ··· = Xtn = z} in Rd + n is empty a.s. except in the following cases: (a) n = 1, d = 1, 2,…; (b) d = 2, n = 2, 3,…; (c) d = 3, n = 2. In each of these cases, a family of random measures Mλ concentrated on Γ is constructed (λ takes values in a certain class of measures on Rd). Measures Mλ characterize the time-space location of self-intersections for Brownian paths. If n = d = 1, then Mλ(dt, dz) = λ(dz) Nz(dt) where N2 is the local time at z. In the case n = 2, the set Γ can be identified with the set of Brownian loops. The measure Mλ “explodes” on the diagonal {t1 = t2} and, to study small loops, a random distribution which regularizes Mλ is constructed