Favourite sites of transient Brownian motion

Yueyun Hu and Zhan Shi

Stochastic Processes and their Applications, 1998, vol. 73, issue 1, 87-99

Abstract: We present an accurate description for the location of maximum of d-dimensional Brownian motion. In case d = 1, this is a well-known theorem of Csáki et al. (1987a). We also deduce, as application, a version of the iterated logarithm law for the favourite site of transient Brownian motion.

Keywords: 60J65; 60J55; 60F15 (search for similar items in EconPapers)
Date: 1998
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