OCCUPATION TIMES OF COMPACT-SETS BY PLANAR BROWNIAN-MOTION

被引：0
|
作者：
CHAN, T
机构：
来源：
ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES | 1994年 / 30卷 / 02期
关键词：
ARC-SINE LAW; OCCUPATION TIME; EXCURSION THEORY;
D O I：
暂无
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Let K be a connected compact subset of R2. We consider the distribution of the occupation time (over the interval [0, tu]) of K by a Brownian motion started at an arbitrary point in R2. We obtain an explicit formula for the distribution of the occupation time of a closed disc by a Brownian motion. Using this result, we then obtain some Tauberian asymptotic results for the general case. The main technique involves calculating the Ito excursion law for the BES(2) process.
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页码：317 / 329
页数：13
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