On the increments of the principal value of brownian local time

Endre Csáki, Yueyun Hu

Research output: Contribution to journalArticle

4 Citations (Scopus)

Abstract

Let W be a one-dimensional Brownian motion starting from 0. Define Y(t)=∫t0ds/W(s):=limϵ→0t01(|W(s)|>ϵ)ds/W(s) as Cauchy’s principal value related to local time. We prove limsup and liminf results for the increments of Y.

Original languageEnglish
Pages (from-to)925-947
Number of pages23
JournalElectronic Journal of Probability
Volume10
DOIs
Publication statusPublished - Jan 1 2005

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Keywords

  • Brownian motion
  • Large increments
  • Local time
  • Principal value

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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