Brownian motion normalized by maximum local time

We characterize the upper and lower functions of a real-valued Wiener process normalized by the supremum of its local times.

Year of publication:	1996
Authors:	Shi, Zhan
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 65.1996, 2, p. 217-231
Publisher:	Elsevier
Keywords:	Self-normalization Lévy's class Local time Brownian motion

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

Persistent link: https://www.econbiz.de/10008874649