Université Paris 6
Pierre et Marie Curie
Université Paris 7
Denis Diderot

CNRS U.M.R. 7599
``Probabilités et Modèles Aléatoires''

Increment sizes of the principal value of Brownian local time

Auteur(s):

Code(s) de Classification MSC:

Résumé: Let $W$ be a standard Brownian motion, and define $Y(t)= \int_0^t ds/W(s)$ as Cauchy's principal value related to local time. We determine: (a) the modulus of continuity of $Y$ in the sense of P. L\'evy; (b) the large increments of $Y$.

Mots Clés: Local time ; modulus of continuity ; large increment ; Brownian motion

Date: 1999-09-29

Prépublication numéro: PMA-531