No label defined (Q4220133)

If \(\{W_1(t): t\geq 0\}\) and \(\{W_2(t): t\geq 0\}\) are two independent one-dimensional Brownian motions starting from 0, the process \(Z(t):= W_1(| W_2(t)|)\) is called an iterated Brownian motion. Its local time process \(\{L_Z(t;x): t\geq 0,\;x\in{\mathbb R}\}\) has a jointly continuous version, and, for fixed \((t,x)\), the random variable \(L_Z(t;x)\) has moments of all orders. It is shown that replacing the deterministic time \(t\) by the random time \[ \tau_2(r):=\inf\{t<0: L_2(t;0)>r\} ,\quad r>0 , \] where \(L_2\) is the local time of \(W_2\), the \(\alpha\)-th moment (\(\alpha\geq 0\)) of \(L_Z(\tau_2(r);0)\) is finite if and only if \(\alpha<2/3\). On the other hand, it is also shown that \(t^{3/4}/\log t\) is the critical level for the \(\liminf\) asymptotic behaviour of \(L_Z(t;0)\), that means, \[ \liminf_{t\to\infty} \frac{(\log t)^{\beta}}{t^{3/4}} L_Z(t;0) =\begin{cases} 0 & \text{if }\beta\leq 1, \\ \infty & \text{otherwise.} \end{cases} \] Concerning the same question with the maximum local time instead of the local time at a fixed level, the authors improve a previous result by \textit{E. Csáki, M. Csögő, A. Földes} and \textit{P. Révész} [J. Theor. Probab. 9, No. 3, 717-743 (1996; Zbl 0857.60081)], obtaining that there exist absolute constants \(a,b>0\) such that \[ a\leq\liminf_{t\to\infty}\frac{(\log\log t)^{3/4}}{t^{3/4}} \sup_{x\in{\mathbb R}} L_Z(t;x) \leq b \quad \text{a.s} . \]