A convolution formula for the local time of an Itô diffusion reflecting at 0 and a generalized Stroock-Williams equation

DOI10.3150/20-BEJ1295zbMath1479.60164OpenAlexW3162918634MaRDI QIDQ2040097

Maciej Wiśniewolski, Jacek Jakubowski

Publication date: 9 July 2021

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3150/20-bej1295

zbMATH Keywords

local timeStroock-Williams equationItô diffusionexcursions of Markov processes

Mathematics Subject Classification ID

Diffusion processes (60J60) Local time and additive functionals (60J55)

Related Items

On bivariate distributions of the local time of Itô-McKean diffusions, Explicit solutions of Volterra integro-differential convolution equations

Uses Software

• DLMF

Cites Work

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