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 |
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页(从-至) | 1693-1715 |
页数 | 23 |
期刊 | Annals of Probability |
卷 | 29 |
期 | 4 |
DOI | |
出版状态 | 已出版 - 10月 2001 |
已对外发布 | 是 |