Brownian motion normalized by maximum local time

Zhan Shi

Stochastic Processes and their Applications, 1996, vol. 65, issue 2, 217-231

Abstract: We characterize the upper and lower functions of a real-valued Wiener process normalized by the supremum of its local times.

Keywords: Self-normalization; Lévy's; class; Local; time; Brownian; motion (search for similar items in EconPapers)
Date: 1996
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