The asymptotic behaviour of local times and occupation integrals of the \(N\)-parameter Wiener process in \(\mathbb{R}^ d\) (Q1326287): Difference between revisions

From MaRDI portal
Import240304020342 (talk | contribs)
Set profile property.
ReferenceBot (talk | contribs)
Changed an Item
Property / cites work
 
Property / cites work: Gaussian Processes with Stationary Increments: Local Times and Sample Function Properties / rank
 
Normal rank
Property / cites work
 
Property / cites work: Dirichlet forms and analysis on Wiener space / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic integrals in the plane / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the local time of the multiparameter wiener process and the asymptotic behaviour of an associated integral / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3740728 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Sample function properties of multi-parameter stable processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic analysis and local times for (N,d)-Wiener process / rank
 
Normal rank
Property / cites work
 
Property / cites work: Chaos expansions of double intersection local time of Brownian motion in \(\mathbb{R}^ d\) and renormalization / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic Integration for Some Rough Non‐adapted Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Ergodic Property of the Brownian Motion Process / rank
 
Normal rank
Property / cites work
 
Property / cites work: Chaos expansions and local times / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic laws of planar Brownian motion / rank
 
Normal rank
Property / cites work
 
Property / cites work: Lectures on stochastic differential equations and Malliavin calculus / rank
 
Normal rank

Revision as of 14:54, 22 May 2024

scientific article
Language Label Description Also known as
English
The asymptotic behaviour of local times and occupation integrals of the \(N\)-parameter Wiener process in \(\mathbb{R}^ d\)
scientific article

    Statements

    The asymptotic behaviour of local times and occupation integrals of the \(N\)-parameter Wiener process in \(\mathbb{R}^ d\) (English)
    0 references
    0 references
    0 references
    15 August 1994
    0 references
    Let \(L(x,T)\), \(x \in \mathbb{R}^ d\), \(T \in \mathbb{R}^ N_ +\), be the local time of the \(N\)-parameter Wiener process \(W\) taking values in \(\mathbb{R}^ d\). Even in the distribution valued cases \(d \geq 2N\), \(L\) can be described in a series representation by means of multiple Wiener-Itô integrals. This setting proves to be a good starting point for the investigation of the asymptotic behaviour of \(L(x,T)\) as \(| x | \to 0\) and/or \(T \to \infty\) and of related occupation integrals \(X_ T(f)=\int_{[0,T]} f(W_ s)ds\) as \(T \to \infty\). We obtain the rates of explosion in laws of the first order, i.e. normalized convergence laws for \(L(x,T)\) resp. \(X_ T(f)\), and of the second order, i.e. normalized convergence laws for \(L(x,T)-E(L(x,T))\) resp. \(X_ T(f)-E(X_ T(f))\).
    0 references
    local time
    0 references
    multiple Wiener-Itô integrals
    0 references
    asymptotic behaviour
    0 references
    normalized convergence
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references