Local time of infinite time horizon Brownian bridge
Probability
2020-07-17 v1
Abstract
We introduce an infinite time horizon Brownian bridge which is determined by a stochastic Langevin equation with time dependent drift coefficient. We show that this process goes to zero almost surely when the time goes to infinity and study the existence and asymptotic behavior of its local time as well as its H\"older continuity in time variable and in location variable. The main difficulty is the lack of stationarity of the process so that the powerful tools for stationary (Gaussian) processes are not applicable. We employ the Garsia-Rodemich-Rumsey inequality to get around this type of difficulty.
Keywords
Cite
@article{arxiv.2007.07946,
title = {Local time of infinite time horizon Brownian bridge},
author = {Yaozhong Hu and Yuejuan Xi},
journal= {arXiv preprint arXiv:2007.07946},
year = {2020}
}