Increment sizes of the principal value of Brownian local time

Endre Csáki, Miklós Csörgo, Antónia Földes, Zhan Shi

Research output: Contribution to journalArticle

7 Citations (Scopus)

Abstract

Let W be a standard Brownian motion, and define Y(t) = ∫10 ds / W (s) as Cauchy's principal value related to local time. We determine: (a) the modulus of continuity of Y in the sense of P. Lévy; (b) the large increments of Y.

Original languageEnglish
Pages (from-to)515-531
Number of pages17
JournalProbability Theory and Related Fields
Volume117
Issue number4
DOIs
Publication statusPublished - Jan 1 2000

    Fingerprint

Keywords

  • Brownian motion
  • Large increment
  • Local time
  • Modulus of continuity

ASJC Scopus subject areas

  • Analysis
  • Statistics and Probability
  • Statistics, Probability and Uncertainty

Cite this