On the local time density of the reflecting Brownian bridge (Q1580050)

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scientific article; zbMATH DE number 1507625
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On the local time density of the reflecting Brownian bridge
scientific article; zbMATH DE number 1507625

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    On the local time density of the reflecting Brownian bridge (English)
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    21 June 2001
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    The authors generalize a representation of the one-dimensional density of the total local time \(\tau^+(a)\) of the reflecting Brownian bridge at level \(a\) to several dimensions. They offer two different approaches to find an expression for the multidimensional density of \((\tau^+ (\rho_1), \dots, \tau^+ (\rho_d))\): The first one presents a direct computation by means of Kac's formula for Brownian functionals and the second one is indirect and based on the fact that the process consisting of suitably normalized strata of a random mapping converges weakly to Brownian bridge local time.
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    Kac's formula
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    Brownian functionals
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    random mapping
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    Brownian bridge local time
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