Can I read An infinite-dimensional representation of the Ray-Knight theorems on EtoBox?

An infinite-dimensional representation of the Ray-Knight theorems by Aïdékon, Elie; Hu, Yueyun; Shi, Zhan is a scholarly article available to read on EtoBox.

What is An infinite-dimensional representation of the Ray-Knight theorems about?

The classical Ray-Knight theorems for Brownian motion determine the law of its local time process either at the first hitting time of a given value a by the local time at the origin, or at the first hitting time of a given position b by Brownian motion. We extend these results by describing the local time process jointly for all a and all b, by means of stochastic integral with respect to an appropriate white noise. Our result applies to $\mu$-processes, and has an immediate application: a $\mu$-process is the height process of a Feller continuous-state branching process (CSBP) with immigration (Lambert [10]), whereas a Feller CSBP with immigration satisfies a stochastic differential equation driven by a white noise (Dawson and Li [7]); our result gives an explicit relation between these two descriptions and shows that the stochastic differential equation in question is a reformulation of Tanaka's formula.

Author

Aïdékon, Elie; Hu, Yueyun; Shi, Zhan

Published

2020

Language

EN