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On the ultimate value of local time of one-dimensional super-Brownian motion

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  • Kaj, I.
  • Salminen, P.

Abstract

We study the random field of local time picked up over the entire life of a super-Brownian motion on the real line. The finite-dimensional distributions of the field are characterized via their Laplace transforms by unique solutions of certain boundary-value differential equations. In some cases the one-dimensional distributions can be found explicitly, giving some insight into how super-Brownian motion behaves before extinction or local extinction.

Suggested Citation

  • Kaj, I. & Salminen, P., 1995. "On the ultimate value of local time of one-dimensional super-Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 59(1), pages 21-42, September.
    • Handle: RePEc:eee:spapps:v:59:y:1995:i:1:p:21-42
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    References listed on IDEAS

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    1. Adler, Robert J. & Lewin, Marica, 1992. "Local time and Tanaka formulae for super Brownian and super stable processes," Stochastic Processes and their Applications, Elsevier, vol. 41(1), pages 45-67, May.
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