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
Authors:	Rosen, Jay
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 23.1986, 1, p. 131-141
Publisher:	Elsevier
Keywords:	Brownian motion multiple intersections local time Tanaka's formula

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

Persistent link: https://www.econbiz.de/10008873870