A note on the stability of the local time of a wiener process

Endre Csáki and Antónia Földes

Stochastic Processes and their Applications, 1987, vol. 25, 203-213

Abstract: Let L(a, t) be the local time of a Wiener process, and put . It is shown that if g(t)=t1/2(log t)-1(log log t)-1 and . A similar result is proved for random g(t) depending on the maximum of the Wiener process. These results settle a problem posed by Csörgo and Révész [7].

Keywords: local; time; Wiener; process; diffusion (search for similar items in EconPapers)
Date: 1987
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