How Big are the Increments of the Local Time of a Wiener Process?
Csaki, E. ; Csorgo, M. ; Foldes, A. ; Revesz, P.
Ann. Probab., Tome 11 (1983) no. 4, p. 593-608 / Harvested from Project Euclid
Let $W(t)$ be a standard Wiener process with local time (occupation density) $L(x, t)$. Kesten showed that $L(0, t)$ and $\sup_x L(x, t)$ have the same LIL law as $W(t)$. Exploiting a famous theorem of P. Levy, namely that $\{\sup_{0 \leq s \leq t} W(s), t \geq 0\} {\underline{\underline{\mathscr{D}}}} \{L(0, t), t \geq 0\}$, we study the almost sure behaviour of big increments of $L(0, t)$ in $t$. The very same increment problems in $t$ of $L(x, t)$ are also studied uniformly in $x$. The results in the latter case are slightly different from those concerning $L(0, t)$, and they coincide only for Kesten's above mentioned LIL.
Publié le : 1983-08-14
Classification:  Local time,  Wiener process (Brownian motion),  big increments and continuity of Brownian local time,  60J55,  60J65,  60G17,  60G57
@article{1176993504,
     author = {Csaki, E. and Csorgo, M. and Foldes, A. and Revesz, P.},
     title = {How Big are the Increments of the Local Time of a Wiener Process?},
     journal = {Ann. Probab.},
     volume = {11},
     number = {4},
     year = {1983},
     pages = { 593-608},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176993504}
}
Csaki, E.; Csorgo, M.; Foldes, A.; Revesz, P. How Big are the Increments of the Local Time of a Wiener Process?. Ann. Probab., Tome 11 (1983) no. 4, pp.  593-608. http://gdmltest.u-ga.fr/item/1176993504/