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math.PR2005★ 22 cited
The multifractal spectrum of Brownian intersection local times
Achim Klenke, Peter Morters
Let \ell be the projected intersection local time of two independent Brownian paths in R^d for d=2,3. We determine the lower tail of the random variable \ell(U), where U is the uni…
math.PR2005★ 1 cited
A unifying class of Skorokhod embeddings: connecting the Azema-Yor and Vallois embeddings
A. M. G. Cox, D. G. Hobson
In this paper we consider the Skorokhod embedding problem in Brownian motion. In particular, we give a solution based on the local time at zero of a variably skewed Brownian motion…