ULTIMATE VALUE OF LOCAL TIME OF ONE-DIMENSIONAL SUPER-BROWNIAN MOTION

Authors
KAJ I SALMINEN P
Citation
I. Kaj et P. Salminen, ULTIMATE VALUE OF LOCAL TIME OF ONE-DIMENSIONAL SUPER-BROWNIAN MOTION, Stochastic processes and their applications, 59(1), 1995, pp. 21-42
Citations number
13
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Stochastic processes and their applications → ACNP
ISSN journal
03044149
Volume
59
Issue
1
Year of publication
1995
Pages
21 - 42
Database
ISI
SICI code
0304-4149(1995)59:1<21:UVOLTO>2.0.ZU;2-S
Abstract
We study the random field of local time picked up over the entire life of a super-Brownian motion on the real line. The finite-dimensional d istributions of the field are characterized via their Laplace transfor ms by unique solutions of certain boundary-value differential equation s. In some cases the one-dimensional distributions can be found explic itly, giving some insight into how super-Brownian motion behaves befor e extinction or local extinction.