A new proof on the distribution of the local time of a Wiener process

Let W(t) be a standard Wiener process with local time L(x, t). It is well-known that, as stochastic processes, L(0, t) and supo [less-than-or-equals, slant] s [less-than-or-equals, slant] tW(s) have the same distribution (Lévy, 1939). Here we give a new derivation of the distribution of L(x, t + h) - L(x, t) for each .

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Year of publication:	1994
Authors:	Csörgo, Miklós ; Shao, Qi-Man
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 19.1994, 4, p. 285-290
Publisher:	Elsevier
Subject:	Local time Wiener process

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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