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Teoriya Veroyatnostei i ee Primeneniya, 1995, Volume 40, Issue 3, Pages 665–669
(Mi tvp3465)
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Short Communications
On reflection of continuous functions and random processes having local times
F. S. Nasyrov Ufa State Aviation Technical University
Abstract:
Assuming that the local time $\alpha(t,u)$, $t\in[0,\infty)$, $u\in\mathbf R$, of a real-valued continuous function $X(s)$, $s\in[0,\infty)$, is continuous in the time parameter, we show that
$$
-\min_{0\le s\le t}\min(X(s),0)=\int_{-\infty}^0\mathbf{1}(\alpha(t,v)>0)\,dv,
$$
where the function $\int_{-\infty}^01(\alpha(t,v)>0)\,dv$ is the local time for $\xi(s)=\alpha(s,X(s))$. We apply this result to random processes.
Keywords:
local time, reflection problem, Brownian motion.
Received: 15.10.1992
Citation:
F. S. Nasyrov, “On reflection of continuous functions and random processes having local times”, Teor. Veroyatnost. i Primenen., 40:3 (1995), 665–669; Theory Probab. Appl., 40:3 (1995), 563–567
Linking options:
https://www.mathnet.ru/eng/tvp3465 https://www.mathnet.ru/eng/tvp/v40/i3/p665
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Abstract page: | 190 | Full-text PDF : | 57 | First page: | 7 |
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