Abstract
We define and study the local time process {L *(x,t);x∈ℝ1,t≥0} of the iterated Brownian motion (IBM) {H(t):=W 1(|W 2 (t)|); t≥0}, whereW 1(·) andW 2(·) are independent Wiener processes.
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Research supported by Hungarian National Foundation for Scientific Research, Grant No. T 016384.
Research supported by an NSERC Canada Grant at Carleton University, Ottawa.
Research supported by a PSC CUNY Grant, No. 6-66364.
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Csáki, E., Csörgó, M., Földes, A. et al. The local time of iterated Brownian motion. J Theor Probab 9, 717–743 (1996). https://doi.org/10.1007/BF02214084
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DOI: https://doi.org/10.1007/BF02214084