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Favourite sites of transient Brownian motion

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  • Hu, Yueyun
  • Shi, Zhan

Abstract

We present an accurate description for the location of maximum of d-dimensional Brownian motion. In case d = 1, this is a well-known theorem of Csáki et al. (1987a). We also deduce, as application, a version of the iterated logarithm law for the favourite site of transient Brownian motion.

Suggested Citation

  • Hu, Yueyun & Shi, Zhan, 1998. "Favourite sites of transient Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 73(1), pages 87-99, January.
    • Handle: RePEc:eee:spapps:v:73:y:1998:i:1:p:87-99
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    References listed on IDEAS

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    1. Khoshnevisan, Davar & Lewis, Thomas M., 1995. "The favorite point of a Poisson process," Stochastic Processes and their Applications, Elsevier, vol. 57(1), pages 19-38, May.
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      60J65 60J55 60F15;

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