Brownian motion normalized by maximum local time
نویسندگان
چکیده
منابع مشابه
Limiting laws associated with Brownian motion perturbed by its maximum, minimum and local time II
Let P0 denote the Wiener measure defined on the canonical space ( Ω = C(R+,R), (Xt)t≥0, (Ft)t≥0 ) , and (St) (resp. (It)), be the one sided-maximum (resp. minimum), (L 0 t ) the local time at 0, and (Dt) the number of down-crossings from b to a (with b > a). Let f : R×Rd −→]0,+∞[ be a Borel function, and (At) be a process chosen within the set : { (St); (St, t); (L 0 t ); (St, It, L 0 t ); (Dt)...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 1996
ISSN: 0304-4149
DOI: 10.1016/s0304-4149(96)00105-6