THE UNIFORM MODULUS OF CONTINUITY OF ITERATED BROWNIAN-MOTION

Authors
KHOSHNEVISAN D LEWIS TM
Citation
D. Khoshnevisan et Tm. Lewis, THE UNIFORM MODULUS OF CONTINUITY OF ITERATED BROWNIAN-MOTION, Journal of theoretical probability, 9(2), 1996, pp. 317-333
Citations number
16
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Journal of theoretical probability → ACNP
ISSN journal
08949840
Volume
9
Issue
2
Year of publication
1996
Pages
317 - 333
Database
ISI
SICI code
0894-9840(1996)9:2<317:TUMOCO>2.0.ZU;2-W
Abstract
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 n umbers. For all t greater than or equal to 0, we define the iterated B rownian motion (IBM), Z, by setting Z(t) corresponds to X(Y-t). In thi s paper we determine the exact uniform modulus of continuity of the pr ocess Z.