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Iterated Brownian motion and stable() subordinator


  • Bertoin, Jean


We use a connection between the iterated Brownian motion and the stable subordinator of index to derive information on the path behaviour of the former.

Suggested Citation

  • Bertoin, Jean, 1996. "Iterated Brownian motion and stable() subordinator," Statistics & Probability Letters, Elsevier, vol. 27(2), pages 111-114, April.
  • Handle: RePEc:eee:stapro:v:27:y:1996:i:2:p:111-114

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    References listed on IDEAS

    1. Shi, Z., 1995. "Lower limits of iterated Wiener processes," Statistics & Probability Letters, Elsevier, vol. 23(3), pages 259-270, May.
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    Cited by:

    1. 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.
    2. Casse, Jérôme & Marckert, Jean-François, 2016. "Processes iterated ad libitum," Stochastic Processes and their Applications, Elsevier, vol. 126(11), pages 3353-3376.
    3. Nane, Erkan, 2009. "Laws of the iterated logarithm for a class of iterated processes," Statistics & Probability Letters, Elsevier, vol. 79(16), pages 1744-1751, August.
    4. Csáki, Endre & Csörgo, Miklós & Földes, Antónia & Révész, Pál, 2011. "On the local time of random walk on the 2-dimensional comb," Stochastic Processes and their Applications, Elsevier, vol. 121(6), pages 1290-1314, June.

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