The uniform modulus of continuity of iterated Brownian motion |
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| Authors: | Davar Khoshnevisan Thomas M. Lewis |
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| Affiliation: | (1) Department of Mathematics, University of Utah, 84112 Salt Lake City, Utah;(2) Department of Mathematics, Furman University, 29613 Greenville, South Carolina |
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| Abstract: | LetX be a Brownian motion defined on the line (withX(0)=0) and letY be an independent Brownian motion defined on the nonnegative real numbers. For allt 0, we define theiterated Brownian motion (IBM),Z, by setting . In this paper we determine the exact uniform modulus of continuity of the process Z.Research supported by NSF grant DMS-9122242. |
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| Keywords: | Iterated Brownian motion uniform modulus of continuity the Ray-Knight theorem |
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