The supremum of Brownian local times on Hölder curves

DOI10.1016/S0246-0203(00)01072-4zbMATH Open0995.60076arXivmath/0002012OpenAlexW3102837951MaRDI QIDQ5954101FDOQ5954101

K. Burdzy, Richard F. Bass

Publication date: 21 October 2002

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Abstract: For $f:[0,1]oR$, we consider $L_t^f$, the local time of space-time Brownian motion on the curve $f$. Let $s{S}_{a}l$ be the class of all functions whose H"older norm of order $al$ is less than or equal to 1. We show that the supremum of $L_1^f$ over $f$ in $s{S}_{a}l$ is finite is $al>frac12$ and infinite if $al<frac12$.

Full work available at URL: https://arxiv.org/abs/math/0002012

zbMATH Keywords

Hölder normslocal time of space-time Brownian motion

Mathematics Subject Classification ID

Brownian motion (60J65) Local time and additive functionals (60J55)

Cited In (3)

• Pathwise uniqueness of the squared Bessel and CIR processes with skew reflection on a deterministic time dependent curve
• On local times of Ornstein-Uhlenbeck processes
• Scaling limits of the Schelling model

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