Local time flow related to skew brownian motion

Krzysztof Burdzy*, Zhen Qing Chen

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

18 Citations (Scopus)

Abstract

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.

Original languageEnglish
Pages (from-to)1693-1715
Number of pages23
JournalAnnals of Probability
Volume29
Issue number4
DOIs
Publication statusPublished - Oct 2001
Externally publishedYes

Keywords

  • Local time
  • Skew brownian motion
  • Stochastic flow

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