Brownian occupation time 2026-09-24
The occupation time of a measurable set through time is . The occupation-times formula expresses such integrals through local time of a semimartingale. Recurrence and the Strong Markov property imply that one-dimensional Brownian motion spends an unbounded total time in every nonempty open interval.
Occupation-times formula 2026-09-24
For a continuous semimartingale with local time of a semimartingale ,
for every nonnegative measurable function .
Reflected Brownian motion 2026-09-24
One-dimensional reflected Brownian motion on has the same law as . The Tanaka formula represents it as a Brownian motion plus a nondecreasing local time of a semimartingale that grows only at zero.
Tanaka formula Created 2026-09-24 Updated 2026-09-24
For a continuous semimartingale ,
where is the local time of a semimartingale at zero.