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Teoriya Veroyatnostei i ee Primeneniya, 1995, Volume 40, Issue 4, Pages 798–812
(Mi tvp3663)
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This article is cited in 6 scientific papers (total in 6 papers)
On local times for functions and stochastic processes. I
F. S. Nasyrov Ufa State Aviation Technical University
Abstract:
Let $X(t)$, $0\le t\le 1$, be a real-valued measurable function having a local time $\alpha (t,u)$, $0\le t\le 1$, $u\in\mathbf{R}$. If the latter is continuous in $t$ for a.e. $u$, then the distribution. $F(t,x)=\int_\mathbf{R}\mathbb{I}(\alpha(t,u)>x)\,du$ 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 $\xi^*(s)=F(s,X(s))$, $0\le s\le 1$, respectively.
Keywords:
local time, distribution and monotone rearrangement of a function, orthogonal decomposition, Brownian motion.
Received: 06.12.1991
Citation:
F. S. Nasyrov, “On local times for functions and stochastic processes. I”, Teor. Veroyatnost. i Primenen., 40:4 (1995), 798–812; Theory Probab. Appl., 40:4 (1995), 702–713
Linking options:
https://www.mathnet.ru/eng/tvp3663 https://www.mathnet.ru/eng/tvp/v40/i4/p798
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Abstract page: | 274 | Full-text PDF : | 81 | First page: | 11 |
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