A convolution formula for the local time of an Itô diffusion reflecting at 0 and a generalized Stroock-Williams equation (Q2040097)
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English | A convolution formula for the local time of an Itô diffusion reflecting at 0 and a generalized Stroock-Williams equation |
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A convolution formula for the local time of an Itô diffusion reflecting at 0 and a generalized Stroock-Williams equation (English)
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9 July 2021
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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.
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excursions of Markov processes
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Itô diffusion
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local time
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Stroock-Williams equation
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