The local time of iterated Brownian motion |
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| Authors: | E Csáki M Csörgó A Földes P Révész |
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| Institution: | (1) Mathematical Institute of the Hungarian Academy of Sciences, P.O.B. 127, H-1364 Budapest, Hungary;(2) Department of Mathematics and Statistics, Carleton University, K1S 5B6 Ottawa, Canada;(3) College of Staten Island, CUNY, 2800 Victory Blvd., 10314 Staten Island, New York;(4) Institut für Statistik und Wahrscheinlichkeitstheorie, Technische Universität Wien, Wiedner Hauptstrasse 8-10/107, A-1040 Vienna, Austria |
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| Abstract: | We define and study the local time process {L
*(x,t);x  1,t 0} of the iterated Brownian motion (IBM) {H(t):=W
1(|W
2
(t)|); t0}, whereW
1(·) andW
2(·) are independent Wiener processes.Research supported by Hungarian National Foundation for Scientific Research, Grant No. T 016384.Research supported by an NSERC Canada Grant at Carleton University, Ottawa.Research supported by a PSC CUNY Grant, No. 6-66364. |
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| Keywords: | Iterated Brownian motion local time invariance principles path properties |
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