How Small are the Increments of the Local Time of a Wiener Process?
Csaki, E. ; Foldes, A.
Ann. Probab., Tome 14 (1986) no. 4, p. 533-546 / Harvested from Project Euclid
Let $W(t)$ be a standard Wiener process with local time $L(x, t)$. Put $L(t) = L(0, t)$ and $L^\ast(t) = \sup_{-\infty < x < \infty} L(x, t)$. We study the almost sure behaviour of small increments of $L(t)$ and also, the joint behaviour of $L(t)$ and the last excursion, $U(t)$. The increment problem of $L(x, t)$ are also studied uniformly in $x$. This implies a $\lim \inf$-type law of the iterated logarithm for $L^\ast(t)$ due to Kesten (1965), in which case the exact constant, not known before, is also determined.
Publié le : 1986-04-14
Classification:  Local time,  Wiener process (Brownian motion),  small increments of Brownian local time,  integral tests,  60J55,  60J65,  60G17,  60G57
@article{1176992529,
     author = {Csaki, E. and Foldes, A.},
     title = {How Small are the Increments of the Local Time of a Wiener Process?},
     journal = {Ann. Probab.},
     volume = {14},
     number = {4},
     year = {1986},
     pages = { 533-546},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176992529}
}
Csaki, E.; Foldes, A. How Small are the Increments of the Local Time of a Wiener Process?. Ann. Probab., Tome 14 (1986) no. 4, pp.  533-546. http://gdmltest.u-ga.fr/item/1176992529/