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Markov properties of diffusion local time: a martingale approach

Published online by Cambridge University Press:  01 July 2016

Paul McGill
Paul McGill*
Affiliation:
The New University of Ulster
*
∗Postal address: Department of Mathematics, The New University of Ulster, Coleraine BT 52 1SA, N. Ireland.
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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

EXCURSION SIGMA-FIELDSDIFFUSIONS
Type
Research Article
Information
Advances in Applied Probability , Volume 14 , Issue 4 , December 1982 , pp. 789 - 810
Copyright
Copyright © Applied Probability Trust 1982 

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