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Brownian motion normalized by maximum local time

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  • Shi, Zhan

Abstract

We characterize the upper and lower functions of a real-valued Wiener process normalized by the supremum of its local times.

Suggested Citation

  • Shi, Zhan, 1996. "Brownian motion normalized by maximum local time," Stochastic Processes and their Applications, Elsevier, vol. 65(2), pages 217-231, December.
    • Handle: RePEc:eee:spapps:v:65:y:1996:i:2:p:217-231
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    References listed on IDEAS

    as
    1. Erickson, K. Bruce, 1994. "Divergent sums over excursions," Stochastic Processes and their Applications, Elsevier, vol. 54(1), pages 175-182, November.
    2. Shi, Z., 1995. "On transient Bessel processes and planar Brownian motion reflected at their future infima," Stochastic Processes and their Applications, Elsevier, vol. 60(1), pages 87-102, November.
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