Hitting, occupation and inverse local times of one-dimensional diffusions: Martingale and excursion approaches
From MaRDI portal
Publication:1812190
DOI10.3150/bj/1068129008zbMath1024.60032OpenAlexW2068248163MaRDI QIDQ1812190
Publication date: 20 November 2003
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3150/bj/1068129008
Related Items (29)
An occupation time related potential measure for diffusion processes ⋮ Distribution of the time to explosion for one-dimensional diffusions ⋮ Filtration shrinkage by level-crossings of a diffusion ⋮ General draw-down times for refracted spectrally negative Lévy processes ⋮ A new firing paradigm for integrate and fire stochastic neuronal models ⋮ On the distribution of integral functionals of a homogeneous diffusion process ⋮ Approximating diffusion reflections at elastic boundaries ⋮ Last-passage time for linear diffusions and application to the emptying time of a box ⋮ Boundary traces of shift-invariant diffusions in half-plane ⋮ On bivariate distributions of the local time of Itô-McKean diffusions ⋮ A diffusion-type process with a given joint law for the terminal level and supremum at an independent exponential time ⋮ An exponential timestepping algorithm for diffusion with discontinuous coefficients ⋮ Standard maximum likelihood drift parameter estimator in the homogeneous diffusion model is always strongly consistent ⋮ The Joint Laplace Transforms for Diffusion Occupation Times ⋮ \(n\)-dimensional Laplace transforms of occupation times for pre-exit diffusion processes ⋮ Occupation times for spectrally negative Lévy processes on the last exit time ⋮ Extension technique for complete Bernstein functions of the Laplace operator ⋮ Diffusion occupation time before exiting ⋮ Self-similar processes with independent increments associated with Lévy and Bessel processes. ⋮ A joint Laplace transform for pre-exit diffusion of occupation times ⋮ Excursions of diffusion processes and continued fractions ⋮ Invariance formulas for stopping times of squared Bessel process ⋮ Analytic Expressions of the Solutions of Advection-Diffusion Problems in One Dimension with Discontinuous Coefficients ⋮ On occupation times of one-dimensional diffusions ⋮ Time and place of the maximum for one-dimensional diffusion bridges and meanders ⋮ On certain integral functionals of squared Bessel processes ⋮ On the first positive and negative excursion exceeding a given length ⋮ Local time of an Ornstein–Uhlenbeck particle ⋮ Occupation Times, Drawdowns, and Drawups for One-Dimensional Regular Diffusions
This page was built for publication: Hitting, occupation and inverse local times of one-dimensional diffusions: Martingale and excursion approaches
