Markov properties of diffusion local time: a martingale approach
- 1 March 1982
- journal article
- research article
- Published by Cambridge University Press (CUP) in Advances in Applied Probability
- Vol. 14 (04) , 789-810
- https://doi.org/10.1017/s0001867800020826
Abstract
This paper uses martingale calculus in order to study the Markov properties of diffusion local time first discovered by Ray and Knight. The approach enables us to calculate the laws of the processes involved and is easily modified to deal with conditioning with respect to the excursion σ-fields.Keywords
This publication has 4 references indexed in Scilit:
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- On the uniqueness of solutions of stochastic differential equationsKyoto Journal of Mathematics, 1971
- Markov properties of Brownian local timeBulletin of the American Mathematical Society, 1969
- Sojourn times of diffusion processesIllinois Journal of Mathematics, 1963