A convolution formula for the local time of an Itô diffusion reflecting at 0 and a generalized Stroock-Williams equation
The authors develop a new probabilistic insight into the structure of local time of Itô diffusions. They particularly obtain a convolution formula for the local time at zero for Itô diffusions reflecting at zero. They derive a simple integro-differential equation for the cumulative distribution function of the local time. The authors also derive a probabilistic representation of a generalized Stroock-Williams equation.
scientific article; zbMATH DE number 7370732
scientific article