A stochastic flow arising in the study of local times

DOI10.1007/S00440-005-0449-0zbMATH Open1081.60047arXivmath/0405173OpenAlexW2038031573MaRDI QIDQ2575679FDOQ2575679

J. Warren

Publication date: 6 December 2005

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Abstract: A stochastic flow of homeomorphisms of the real line previously studied by Bass and Burdzy is shown to arise in describing a Brownian motion conditional on knowing its local times on hitting a fixed level. This makes it possible to connect Ray-Knight type results for the flow with the classical Ray-Knight theorems for Brownian motion.

Full work available at URL: https://arxiv.org/abs/math/0405173

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zbMATH Keywords

local times of Brownian motionstochastic flow of homeomorphisms of R

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

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• Some Brownian functionals and their laws
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• Stochastic bifurcation models
• Brownian excursion conditioned on its local time
• Ray-Knight theorems related to a stochastic flow

Cited In (11)

• Penalizations of the Brownian motion with a functional of its local times
• Brownian flow on a finite interval with jump boundary conditions
• Ray-Knight theorems related to a stochastic flow
• Local time flow related to skew Brownian motion.
• On the stochastic flow generated by the one default model in one-dimensional case
• Inverting the ray-knight identity on the line
• Fine mesh limit of the VRJP in dimension one and Bass-Burdzy flow
• A quenched local limit theorem for stochastic flows
• Title not available (Why is that?)
• Local time and first return time for periodic semi-flows
• Path decompositions of perturbed reflecting Brownian motions

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