ON THE LOCAL TIME OF THE BROWNIAN MOTION

被引：23

作者：

Takacs, Lajos ^{[1
]}

机构：

[1] Case Western Reserve Univ, Cleveland, OH 44106 USA

来源：

ANNALS OF APPLIED PROBABILITY | 1995年 / 5卷 / 03期

关键词：

Brownian motion; local time; distribution; moments;

D O I：

10.1214/aoap/1177004703

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper explicit formulas are given for the distribution function, the density function and the moments of the local time of the reflecting Brownian motion process.

引用

页码：741 / 756

页数：16

共 50 条

[31] Distributions of Functionals of the Local Time of Brownian Motion with Discontinuous Drift
Borodin A.N.
Journal of Mathematical Sciences, 2022, 268 (5) : 599 - 611
[32] Large deviations for local time fractional Brownian motion and applications
Meerschaert, Mark M.
Nane, Erkan
Xiao, Yimin
JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 2008, 346 (02) : 432 - 445
[33] BIRTH-DEATH CHAINS AND THE LOCAL TIME OF BROWNIAN MOTION
Markowsky, Greg
BULLETIN OF THE AUSTRALIAN MATHEMATICAL SOCIETY, 2012, 85 (03) : 497 - 504
[34] On the boundary local time measure of super-Brownian motion
Hong, Jieliang
ELECTRONIC JOURNAL OF PROBABILITY, 2020, 25 : 1 - 66
[35] A RENORMALIZED LOCAL TIME FOR MULTIPLE INTERSECTIONS OF PLANAR BROWNIAN-MOTION
ROSEN, J
LECTURE NOTES IN MATHEMATICS, 1986, 1204 : 515 - 531
[36] Renormalized self-intersection local time for fractional Brownian motion
Hu, YZ
Nualart, D
ANNALS OF PROBABILITY, 2005, 33 (03): : 948 - 983
[37] Rough path analysis for local time of G-Brownian motion
Yan, Litan
Li, Yumiao
He, Kun
APPLICABLE ANALYSIS, 2020, 99 (06) : 899 - 921
[38] Large deviations for the boundary local time of doubly reflected Brownian motion
Forde, Martin
Kumar, Rohini
Zhang, Hongzhong
STATISTICS & PROBABILITY LETTERS, 2015, 96 : 262 - 268
[39] ESTIMATING THE COUNTERPARTY RISK EXPOSURE BY USING THE BROWNIAN MOTION LOCAL TIME
Bonollo, Michele
Di Persio, Luca
Mammi, Luca
Oliva, Immacolata
INTERNATIONAL JOURNAL OF APPLIED MATHEMATICS AND COMPUTER SCIENCE, 2017, 27 (02) : 435 - 447
[40] The Derivative of the Intersection Local Time of Brownian Motion Through Wiener Chaos
Markowsky, Greg
SEMINAIRE DE PROBABILITES XLIV, 2012, 2046 : 141 - 148

← 1 2 3 4 5 →