Excursion measure away from an exit boundary of one-dimensional diffusion processes (Q863795)

From MaRDI portal
scientific article
Language Label Description Also known as
English
Excursion measure away from an exit boundary of one-dimensional diffusion processes
scientific article

    Statements

    Excursion measure away from an exit boundary of one-dimensional diffusion processes (English)
    0 references
    0 references
    1 February 2007
    0 references
    A measure generalizing the excursion measure away from an exit boundary is constructed for a one-dimensional diffusion process via the desintegration formula with respect to the lifetime. It is used to generalize the convergence theorem of \textit{Y. Kasahara} and \textit{S. Watanabe} [Ill. J. Math. 50, No. 1--4, 515--539 (2006; Zbl 1102.60066)] in terms of the Poisson point fields, where the inverse local time processes of regular diffusions converge in law to a Lévy process related to a diffusion with an exit boundary.
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    diffusion process
    0 references
    excursion theory
    0 references
    Poisson point process
    0 references
    limit theorem
    0 references
    stable process
    0 references
    Krein's spectral theory
    0 references
    0 references
    0 references
    0 references