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The average density of planar Brownian motion

  • We show that the occupation measure on the path of a planar Brownian motion run for an arbitrary finite time intervalhas an average density of order three with respect to thegauge function t^2 log(1/t). This is a surprising resultas it seems to be the first instance where gauge functions other than t^s and average densities of order higher than two appear naturally. We also show that the average densityof order two fails to exist and prove that the density distributions, or lacunarity distributions, of order threeof the occupation measure of a planar Brownian motion are gamma distributions with parameter 2.

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Metadaten
Verfasser*innenangaben:Peter Mörters
URN:urn:nbn:de:hbz:386-kluedo-7912
Schriftenreihe (Bandnummer):Preprints (rote Reihe) des Fachbereich Mathematik (296)
Dokumentart:Preprint
Sprache der Veröffentlichung:Englisch
Jahr der Fertigstellung:1997
Jahr der Erstveröffentlichung:1997
Veröffentlichende Institution:Technische Universität Kaiserslautern
Datum der Publikation (Server):03.04.2000
Freies Schlagwort / Tag:Brownian motion; average density; density distribution; lacunarity distribution; logarithmic averages; occupation measure; order-three density
Fachbereiche / Organisatorische Einheiten:Kaiserslautern - Fachbereich Mathematik
DDC-Sachgruppen:5 Naturwissenschaften und Mathematik / 510 Mathematik
MSC-Klassifikation (Mathematik):28-XX MEASURE AND INTEGRATION (For analysis on manifolds, see 58-XX) / 28Axx Classical measure theory / 28A75 Length, area, volume, other geometric measure theory [See also 26B15, 49Q15]
28-XX MEASURE AND INTEGRATION (For analysis on manifolds, see 58-XX) / 28Axx Classical measure theory / 28A80 Fractals [See also 37Fxx]
60-XX PROBABILITY THEORY AND STOCHASTIC PROCESSES (For additional applications, see 11Kxx, 62-XX, 90-XX, 91-XX, 92-XX, 93-XX, 94-XX) / 60Gxx Stochastic processes / 60G17 Sample path properties
60-XX PROBABILITY THEORY AND STOCHASTIC PROCESSES (For additional applications, see 11Kxx, 62-XX, 90-XX, 91-XX, 92-XX, 93-XX, 94-XX) / 60Jxx Markov processes / 60J65 Brownian motion [See also 58J65]
Lizenz (Deutsch):Standard gemäß KLUEDO-Leitlinien vor dem 27.05.2011