On local times for functions and stochastic processes .1.

被引:2
作者
Nasyrov, FS [1 ]
机构
[1] UFA AVIAT TECH UNIV,CHAIR HIGHER MATH,UFA 450025,RUSSIA
关键词
local time; distribution and monotone rearrangement of a function; orthogonal decomposition; Brownian motion;
D O I
10.1137/1140079
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 X(t), 0 less than or equal to t less than or equal to 1, be a real-valued measurable function having a local time alpha(t, u), 0 less than or equal to t less than or equal to 1, u epsilon R. If the latter is continuous in t for a.e. u, then the distribution F(t, x) = integral(R) 1(alpha(t, u) > x) du and the monotone rearrangement alpha*(t, u) = inf{x: F(t, x) < u} of the local time alpha(t, u) are the local times for xi(s) = alpha(s, X(s)) and xi*(s) = F(s, X(s)), 0 less than or equal to s less than or equal to 1, respectively.
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页码:702 / 713
页数:12
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