A stochastic flow arising in the study of local times

DOI10.1007/S00440-005-0449-0MaRDI QIDQ2575679zbMATH OpenOpenAlexFDO

Authors J. Warren

Publication date 6 December 2005

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

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

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)

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.

Review text

A stochastic flow of homeomorphisms of \(R\) is shown to arise in the study of the local times of Brownian motion. Starting with a family of bi-continuous local times of the Brownian motion \(W\), \((l(t,x); t\geq 0, x\in R)\), a new process \((l(T_0,x), x\in R)\) is defined, where \(T_0\) is a stopping time of \(W\) for entering \(t=0\) when starting from \(\xi> 0\). The main result of this paper establishes a close connection between the description of \((W_t; 0\leq t\leq T_0)\) after conditioning on the entire family of random variables \((l(T_0,x); x\in R)\) and a stochastic flow of the Bass-Burdzy type. There are proved in detail several lemmata and propositions leading the reader to a better understanding of the main result. It is addressed to mathematicians working in the probability field.

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• Ray-Knight theorems related to a stochastic flow
• Coalescing and noncoalescing stochastic flows in \(R_ 1\)
• Local time flow related to skew Brownian motion.
• Brownian local time
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Cites work

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Cited in

(14)

• Ray-Knight theorems related to a stochastic flow
• Level-crossing intensity for the density of the image of Lebesgue measure under the action of a Brownian stochastic flow
• Local time flow related to skew Brownian motion.
• Local time at zero for Arratia flow
• Inverting the ray-knight identity on the line
• A quenched local limit theorem for stochastic flows
• Path decompositions of perturbed reflecting Brownian motions
• Fine mesh limit of the VRJP in dimension one and Bass-Burdzy flow
• Brownian flow on a finite interval with jump boundary conditions
• On the stochastic flow generated by the one default model in one-dimensional case
• scientific article; zbMATH DE number 4096532 (Why is no real title available?)
• Local time and first return time for periodic semi-flows
• The stochastic Jacobi flow
• Penalizations of the Brownian motion with a functional of its local times

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