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This article is cited in 4 scientific papers (total in 4 papers)
On local times for functions and stochastic processes
F. S. Nasyrov Ufa State Aviation Technical University
Abstract:
Let $X(t)$, $0\l t\l 1$, be a real-valued measurable function having a local time $\alpha(t,u)$, $0\l t\l 1$, $u\in\mathbb R$. If the latter is continuous in $t$ for a.a. $u$, then the distribution $F(t,x)=\int_\mathbb R\mathbb{I}\{\alpha(t,u) > x\}\,du$ and the monotone rearrangement $\alpha^*(t,u)=\inf\{x\: F(t,x) < u\}$ of the local time $\alpha(t,u)$ are the local times for $\xi(s)=\alpha(s,X(s))$ and $\xi^*(s)=F(s,\xi(s))$, $0\l s\l 1$, respectively.
Keywords:
local time, distribution and monotonere arrangement of a function, orthogonal decomposition, Brownian motion.
Received: 06.12.1991
Citation:
F. S. Nasyrov, “On local times for functions and stochastic processes”, Teor. Veroyatnost. i Primenen., 41:2 (1996), 284–299; Theory Probab. Appl., 41:2 (1997), 275–287
Linking options:
https://www.mathnet.ru/eng/tvp2933https://doi.org/10.4213/tvp2933 https://www.mathnet.ru/eng/tvp/v41/i2/p284
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Abstract page: | 264 | Full-text PDF : | 163 | First page: | 21 |
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