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Local times in a Brownian excursion

Published 17 Oct 2014 in math.PR | (1410.4643v1)

Abstract: Let ${B(t), t \geq 0}$ be a standard Brownian motion in $\mathbb{R}$. Let $T$ be the first return time to 0 after hitting 1, and ${L(T,x), x \in \mathbb{R}}$ be the local time process at time $T$ and level $x$. The distribution of $L(T,x)$ for each $x \in \mathbb{R}$ is determined. This is applied to the estimation of a $L1$ integral on $\mathbb{R}$.

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