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Markov properties of diffusion local time: a martingale approach
Published online by Cambridge University Press: 01 July 2016
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.
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- Copyright © Applied Probability Trust 1982
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