Increment sizes of the principal value of Brownian local time

E. 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
Publication statusPublished - 2000

Fingerprint

Cauchy Principal Value
Principal value
Modulus of Continuity
Local Time
Increment
Brownian motion
Standards
Local time
Brownian local time
Continuity

Keywords

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

ASJC Scopus subject areas

  • Mathematics(all)
  • Analysis
  • Statistics and Probability

Cite this

Increment sizes of the principal value of Brownian local time. / Csáki, E.; Csörgo, Miklós; Földes, Antónia; Shi, Zhan.

In: Probability Theory and Related Fields, Vol. 117, No. 4, 2000, p. 515-531.

Research output: Contribution to journalArticle

Csáki, E, Csörgo, M, Földes, A & Shi, Z 2000, 'Increment sizes of the principal value of Brownian local time', Probability Theory and Related Fields, vol. 117, no. 4, pp. 515-531.
Csáki, E. ; Csörgo, Miklós ; Földes, Antónia ; Shi, Zhan. / Increment sizes of the principal value of Brownian local time. In: Probability Theory and Related Fields. 2000 ; Vol. 117, No. 4. pp. 515-531.
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