The uniform modulus of continuity of iterated Brownian motion

被引：26
|
作者：
Khoshnevisan, D [1 ]
Lewis, TM [1 ]
机构：
[1] FURMAN UNIV, DEPT MATH, GREENVILLE, SC 29613 USA
来源：
JOURNAL OF THEORETICAL PROBABILITY | 1996年 / 9卷 / 02期
关键词：
iterated Brownian motion; uniform modulus of continuity; the Ray-Knight theorem;
D O I：
10.1007/BF02214652
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 be a Brownian motion defined on the line (with X(0) = 0) and let Y be an independent Brownian motion defined on the nonnegative real numbers. For all t greater than or equal to 0, we define the iterated Brownian motion (IBM), Z, by setting Z(t) corresponds to X(Y-t). In this paper we determine the exact uniform modulus of continuity of the process Z.
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页码：317 / 333
页数：17
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