Increment sizes of the principal value of Brownian local time

DOI10.1007/S004400000061MaRDI QIDQ1584539zbMATH OpenFDO

Authors Endre Csáki, Miklós Csörgo, Antónia Földes, Zhan Shi

Publication date 5 November 2000

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S004400000061

zbMATH Keywords

Brownian motionlarge incrementlocal timemodulus of continuity

Mathematics Subject Classification ID

Brownian motion (60J65)

Review text

Let \(W\) be a standard Brownian motion and define \(Y(t)= \int^t_0{ds\over W(s)}\) as Cauchy's principal value related to local time. The modulus of continuity of \(Y\) in the sense of P. Lévy and the large increments of \(Y\) are determined.

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