Abstract

Let {B(t),t≥0}\{B(t), t \geq 0\} be a standard Brownian motion in R\mathbb{R}. Let TT be the first return time to 0 after hitting 1, and {L(T,x),x∈R}\{L(T,x), x \in \mathbb{R}\} be the local time process at time TT and level xx. The distribution of L(T,x)L(T,x) for each x∈Rx \in \mathbb{R} is determined. This is applied to the estimation of a L1L^1 integral on R\mathbb{R}.

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