On the occupation time of an iterated process having no local time

Endre Csáki, Miklós Csörgö, Antónia Földes, Pál Révész

Research output: Contribution to journalArticle

6 Citations (Scopus)

Abstract

We study the asymptotic behaviour of the occupation time process ∫t0 IA(W1(L2(s)))ds, t ≥ 0, where W1 is a standard Wiener process and L2 is a Wiener local time process at zero that is independent from W1. We prove limit laws, as well as almost sure upper and lower class theorems. Possible extensions of the obtained results are also discussed.

Original languageEnglish
Pages (from-to)199-217
Number of pages19
JournalStochastic Processes and their Applications
Volume70
Issue number2
DOIs
Publication statusPublished - Oct 15 1997

ASJC Scopus subject areas

  • Statistics and Probability
  • Modelling and Simulation
  • Applied Mathematics

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