Local time flow related to skew Brownian motion
成果类型：
Article
署名作者：
Burdzy, K; Chen, ZQ
署名单位：
University of Washington; University of Washington Seattle
刊物名称：
ANNALS OF PROBABILITY
ISSN/ISSBN：
0091-1798
发表日期：
2001
页码：
1693-1715
关键词：
摘要：
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.