Iterated Brownian motion and stable() subordinator
AbstractWe use a connection between the iterated Brownian motion and the stable subordinator of index to derive information on the path behaviour of the former.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 27 (1996)
Issue (Month): 2 (April)
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- Csáki, Endre & Csörgo, Miklós & Földes, Antónia & Révész, Pál, 1997. "On the occupation time of an iterated process having no local time," Stochastic Processes and their Applications, Elsevier, vol. 70(2), pages 199-217, October.
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