![Local times surface](https://upload.wikimedia.org/wikipedia/commons/e/e1/Local_times_surface.png)
In the
mathematical
Mathematics is an area of knowledge that includes the topics of numbers, formulas and related structures, shapes and the spaces in which they are contained, and quantities and their changes. These topics are represented in modern mathematics ...
theory of
stochastic process
In probability theory and related fields, a stochastic () or random process is a mathematical object usually defined as a family of random variables. Stochastic processes are widely used as mathematical models of systems and phenomena that appea ...
es, local time is a stochastic process associated with
semimartingale
In probability theory, a real valued stochastic process ''X'' is called a semimartingale if it can be decomposed as the sum of a local martingale and a càdlàg adapted finite-variation process. Semimartingales are "good integrators", forming the l ...
processes such as
Brownian motion
Brownian motion, or pedesis (from grc, πήδησις "leaping"), is the random motion of particles suspended in a medium (a liquid or a gas).
This pattern of motion typically consists of random fluctuations in a particle's position insi ...
, 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 field In physics and mathematics, a random field is a random function over an arbitrary domain (usually a multi-dimensional space such as \mathbb^n). That is, it is a function f(x) that takes on a random value at each point x \in \mathbb^n(or some other d ...
s.
Formal definition
For a continuous real-valued semimartingale
, the local time of
at the point
is the stochastic process which is informally defined by
:
where
is the
Dirac delta function
In mathematics, the Dirac delta distribution ( distribution), also known as the unit impulse, is a generalized function or distribution over the real numbers, whose value is zero everywhere except at zero, and whose integral over the entire ...
and