Hitting, occupation and inverse local times of one-dimensional diffusions: martingale and excursion approaches
Pitman, Jim ; Yor, Marc
Bernoulli, Tome 9 (2003) no. 3, p. 1-24 / Harvested from Project Euclid
Basic relations between the distributions of hitting, occupation and inverse local times of a one-dimensional diffusion process $X$, first discussed by It\^o and McKean, are reviewed from the perspectives of martingale calculus and excursion theory. These relations, and the technique of conditioning on $L_T^y$, the local time of $X$ at level $y$ before a suitable random time $T$, yield formulae for the joint Laplace transform of $L_T^y$ and the times spent by $X$ above and below level $y$ up to time $T$.
Publié le : 2003-02-14
Classification:  arcsine law,  Feynman-Kac formula,  last exit decomposition
@article{1068129008,
     author = {Pitman, Jim and Yor, Marc},
     title = {Hitting, occupation and inverse local times of one-dimensional diffusions: martingale and excursion approaches},
     journal = {Bernoulli},
     volume = {9},
     number = {3},
     year = {2003},
     pages = { 1-24},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1068129008}
}
Pitman, Jim; Yor, Marc. Hitting, occupation and inverse local times of one-dimensional diffusions: martingale and excursion approaches. Bernoulli, Tome 9 (2003) no. 3, pp.  1-24. http://gdmltest.u-ga.fr/item/1068129008/