A convolution formula for the local time of an Itô diffusion reflecting at 0 and a generalized Stroock-Williams equation

DOI10.3150/20-BEJ1295MaRDI QIDQ2040097zbMATH OpenOpenAlexFDO

Authors Jacek Jakubowski, Maciej Wiśniewolski

Publication date 9 July 2021

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3150/20-bej1295

zbMATH Keywords

excursions of Markov processesItô diffusionlocal timeStroock-Williams equation

Mathematics Subject Classification ID

Local time and additive functionals (60J55) Diffusion processes (60J60)

Review text

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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Cited in

(3)

• Explicit solutions of Volterra integro-differential convolution equations
• Estimation of the density of hypoelliptic diffusion processes with application to an extended Itô's formula
• On bivariate distributions of the local time of Itô-McKean diffusions

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