CHAOS EXPANSION OF LOCAL TIME OF FRACTIONAL BROWNIAN MOTIONS.

We find the chaos expansion of local time ℓT(H)(x,·) of fractional Brownian motion with Hurst coefficient H∈(0,1) at a point x∈Rd. As an application we show that when H0d<1 then ℓT(H)(x,·)∈L2(μ). Here μ denotes the probability law of B(H) and H0=max{H1,…,Hd}. In particular, we show that when d=1 then ℓT(H)(x,·)∈L2(μ) for all H∈(0,1). [ABSTRACT FROM AUTHOR]