Some path properties of iterated Brownian motion
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Burdzy, Krzysztof
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Birkhauser Boston, Inc.
Abstract
The present paper is devoted to studying path properties of iterated Brownian motion (IBM). We want to examine how the lack of independence of increments influences the results and estimates which are well understood in the Brownian case. This may be viewed as a prelude to a deeper study of the process.
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Citation
Burdzy, K. (1993). Some path properties of iterated Brownian motion. In Seminars on Stochastic Processes 1992, K.L. Cheng, E. Cinlar, & M.J. Sharpe, eds., 67-87.