Plane wave decomposition of odd-dimensional Brownian local times

DOI10.1215/KJM/1250517918MaRDI QIDQ1970355zbMATH OpenOpenAlexFDO

Authors Hideaki Uemura

Publication date 19 March 2000

Published in Journal of Mathematics of Kyoto University (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1215/kjm/1250517918

zbMATH Keywords

asymptotic behaviourBrownian motionlocal timemultiple stochastic integrals

Mathematics Subject Classification ID

Gaussian processes (60G15) Random fields (60G60) Stochastic integrals (60H05) Local time and additive functionals (60J55)

Review text

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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Cited in

(2)

• Plane wave decomposition of even-dimensional Brownian local times
• Generalized positive continuous additive functionals of multidimensional Brownian motion and their associated Revuz measures

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