Brownian local times.
Takács, Lajos (1995)
Journal of Applied Mathematics and Stochastic Analysis
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Displaying similar documents to “Symmetrization of Bernoulli.”
Brownian local times.
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The following question is due to Marc Yor: Let be a brownian motion and =+ . Can we define an -predictable process such that the resulting stochastic integral (⋅) is a brownian motion (without drift) in its own filtration, i.e. an -brownian motion? In this paper we show that by dropping the requirement of -predictability of we can give a positive answer to this question. In other words, we are able to show that there is a weak solution to Yor’s question....
Equidistant sampling for the maximum of a Brownian motion with drift on a finite horizon.
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