The supremum of Brownian local times on Hölder curves

DOI10.1016/S0246-0203(00)01072-4MaRDI QIDQ5954101zbMATHOpenAlexFDO

Authors Richard F. Bass, K. Burdzy

Publication date 21 October 2002

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

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)

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 $al<frac12$.

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Cited in

(3)

• Scaling limits of the Schelling model
• 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

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