A martingale characterisation of the Brownian excursion compensator

DOI10.1007/BF00366275zbMath0555.60049MaRDI QIDQ760714

Paul McGill

Publication date: 1986

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

zbMATH Keywords

infinite martingale dimensionreflecting Brownian local time

Mathematics Subject Classification ID

Brownian motion (60J65) Martingales with continuous parameter (60G44)

Cites Work

• Sojourn times of diffusion processes
• Calculation of some conditional excursion formulae
• Markov properties of diffusion local time: a martingale approach
• [https://portal.mardi4nfdi.de/wiki/Publication:4115871 �tude des solutions extr�males et repr�sentation int�grale des solutions pour certains probl�mes de martingales]
• Random Walks and A Sojourn Density Process of Brownian Motion
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