A new proof on the distribution of the local time of a Wiener process

Miklós Csörgo and Qi-Man Shao

Statistics & Probability Letters, 1994, vol. 19, issue 4, 285-290

Abstract: Let W(t) be a standard Wiener process with local time L(x, t). It is well-known that, as stochastic processes, L(0, t) and supo [less-than-or-equals, slant] s [less-than-or-equals, slant] tW(s) have the same distribution (Lévy, 1939). Here we give a new derivation of the distribution of L(x, t + h) - L(x, t) for each .

Keywords: Local; time; Wiener; process (search for similar items in EconPapers)
Date: 1994
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