On the excursion theory for linear diffusions (Q1000331)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the excursion theory for linear diffusions |
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On the excursion theory for linear diffusions (English)
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6 February 2009
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A number of crucial identities are presented for the excursion theory of linear diffusions, which link to the corresponding ones on stationary diffusions by letting the parameter of the exponential time tend to zero. By using Krein's representation it is proved that the law of the length of the excursion straddling an exponential time is infinitely divisible. The main results are illustrated by the standard Ornstein-Uhlenbeck process.
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last exit decomposition
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local time
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excursion
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linear diffusion
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