Tanaka's formula for multiple intersections of planar Brownian motion
We establish a Tanaka-like formula relating the local times of r and r + 1 fold self-intersections of a Brownian path in the plane.
Year of publication: |
1986
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Authors: |
Rosen, Jay
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Published in: |
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Publisher: |
Elsevier
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Keywords: |
Brownian motion multiple intersections local time Tanaka's formula |
Type of publication: | Article
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Source: | |
Persistent link: https://www.econbiz.de/10008873870