Markov properties of diffusion local time: a martingale approach

1 December 1982

journal article
Published by Cambridge University Press (CUP) in Advances in Applied Probability

Vol. 14 (4) , 789-810
https://doi.org/10.2307/1427024

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

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