Stochastic processes

Local time (mathematics)

In the mathematical theory of stochastic processes, local time is a stochastic process associated with semimartingale processes such as Brownian motion, that characterizes the amount of time a particle has spent at a given level. Local time appears in various stochastic integration formulas, such as Tanaka's formula, if the integrand is not sufficiently smooth. It is also studied in statistical mechanics in the context of random fields. (Wikipedia).

Local time (mathematics)
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From playlist Science Unplugged: Time

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From playlist SPECIAL TOPICS 2 - GPS

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From playlist Integrable​ ​systems​ ​in​ ​Mathematics,​ ​Condensed​ ​Matter​ ​and​ ​Statistical​ ​Physics

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Related pages

Semimartingale | Random field | Quadratic variation | Bessel process | Brownian motion | Dirac delta function | Mathematics | Doob–Meyer decomposition theorem | Gaussian process | Stochastic process | Tanaka's formula | Càdlàg