Local time flow related to skew brownian motion

Krzysztof Burdzy*, Zhen Qing Chen

*此作品的通讯作者

科研成果: 期刊稿件文章同行评审

18 引用 (Scopus)

摘要

We define a local time flow of skew Brownian motions, that is, a family of solutions to the stochastic differential equation defining the skew Brownian motion, starting from different points but driven by the same Brownian motion. We prove several results on distributional and path properties of the flow. Our main result is a version of the Ray-Knight theorem on local times. In our case, however, the local time process viewed as a function of the spatial variable is a pure jump Markov process rather than a diffusion.

源语言英语
页(从-至)1693-1715
页数23
期刊Annals of Probability
29
4
DOI
出版状态已出版 - 10月 2001
已对外发布

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