A new proof on the distribution of the local time of a Wiener process
type: Item
instance of: scholarly article
title: A new proof on the distribution of the local time of a Wiener process
zbMATH Open document ID: 0799.60069
DOI: 10.1016/0167-7152(94)90178-3
author: Miklós Csörgo
author: Q. M. Shao
published in: Statistics \& Probability Letters
publication date: 1994-11-07T00:00:00Z
review text: Let \((L(x,t): x\in{\mathbb{R}}, t\geq 0)\) denote the local times of a standard Brownian motion. The authors derive the distribution of the increment \(L(x,t+h)-L(x,t)\) for every fixed \(x\in{\mathbb{R}}\) and \(t, h\geq 0\) by using the method of moments.
reviewed by: Jean Bertoin
Mathematics Subject Classification ID: 60J55
Mathematics Subject Classification ID: 60J60
zbMATH DE Number: 571635
zbMATH Keywords: local times
zbMATH Keywords: Brownian motion
MaRDI profile type: Publication
full work available at URL: 0167-7152(94)90178-3
OpenAlex ID: W2017556568
cites work: Local Times and Sample Function Properties of Stationary Gaussian Processes
cites work: Q5680823
cites work: How big are the increments of the local time of a Wiener process?
cites work: Q5791821
cites work: A property of Brownian motion paths
description: scientific article; zbMATH DE number 571635