Plane wave decomposition of odd-dimensional Brownian local times (Q1970355)
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English | Plane wave decomposition of odd-dimensional Brownian local times |
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Plane wave decomposition of odd-dimensional Brownian local times (English)
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19 March 2000
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The \(r\)-dimensional Brownian local time \(L(t,x)\) is represented by \[ L(t,x)= {1\over (-4\pi)^{(r-1)/2}} {\Gamma(1/2) \over\Gamma(r/2)} \int_{S^{ r-1}} L^{(r-1)}(t,x, \omega)\sigma (d\omega), \] where \[ L^{(r-1)}(t,x, \omega)= \left.{d^{r-1}\over d\xi^{r-1}} L^\omega(t,\xi) \right|_{\xi= \langle x, \omega\rangle}, \] and \(L^\omega (t,\xi)\) denotes the local time for the 1-dimensional Brownian motion.
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Brownian motion
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local time
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asymptotic behaviour
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multiple stochastic integrals
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