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On the distribution of supremum of diffusion local time

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  • Salminen, Paavo

Abstract

In this note we compute the law of supt [greater-or-equal, slanted] 0(Lxt - [mu]t), [mu] [greater-or-equal, slanted] 0, where Lx is the local time process at a point x associated with a regular one-dimensional diffusion.

Suggested Citation

  • Salminen, Paavo, 1993. "On the distribution of supremum of diffusion local time," Statistics & Probability Letters, Elsevier, vol. 18(3), pages 219-225, October.
    • Handle: RePEc:eee:stapro:v:18:y:1993:i:3:p:219-225
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    Cited by:

    1. Kozlova, M. & Salminen, P., 2004. "Diffusion local time storage," Stochastic Processes and their Applications, Elsevier, vol. 114(2), pages 211-229, December.

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