On the increments of the principal value of Brownian local time

MaRDI QIDQ850367zbMATH OpenFDO

Authors Endre Csáki, Yueyun Hu

Publication date 3 November 2006

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0501199, https://eudml.org/doc/127180

Mathematics Subject Classification ID

Brownian motion (60J65) Strong limit theorems (60F15) Local time and additive functionals (60J55)

Abstract: Let $W$ be a one-dimensional Brownian motion starting from 0. Define $Y(t)=in{t}_0^{t}dsoverW(s):=li{m}_{epsilono0}in{t}_0^t{1}_{(|W(s)|>epsilon)}dsoverW(s)$ as Cauchy's principal value related to local time. We prove limsup and liminf results for the increments of $Y$.

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