Sojourn times of diffusion processes

zbMATH Open0118.13403MaRDI QIDQ2626151FDOQ2626151

Authors: Daniel Ray 

Publication date: 1963

Published in: Illinois Journal of Mathematics (Search for Journal in Brave)

zbMATH Keywords

probability theory

Cited In (71)

• An infinite-dimensional representation of the Ray-Knight theorems
• Stochastic Volterra equations for the local times of spectrally positive stable processes
• On the properties for increments of a local time -- a look through the set of limit points
• Limit theorems for the trajectory of the self-repelling random walk with directed edges
• An encounter-based approach for restricted diffusion with a gradient drift
• Brownian Local Time of the Second Order
• Distribution of Functionals of Brownian Motion with Linear Drift and Elastically Killed at Zero
• Brownian local time of the second order at the inverse local time moment
• Distributions of functionals of the local time of Brownian motion with discontinuous drift
• Fluctuations of the local times of the self-repelling random walk with directed edges
• A Ray-Knight theorem for \(\nabla \phi\) interface models and scaling limits
• Brownian motion normalized by maximum local time
• On the increments of the local time of a Wiener sheet
• Random Walks and A Sojourn Density Process of Brownian Motion
• A note on the stability of the local time of a Wiener process
• (Semi-) martingale inequalities and local times
• New perspectives on Ray's theorem for the local times of diffusions
• Statistics of boundary encounters by a particle diffusing outside a compact planar domain
• Hidden symmetries and limit laws in the extreme order statistics of the Laplace random walk
• Decomposing the Brownian path
• On the character of convergence to Brownian local time. II
• Shift‐invariance for vertex models and polymers
• Relative complexity of random walks in random sceneries
• On the local time of random walk on the 2-dimensional comb
• Nonincrease Almost Everywhere of Certain Measurable Functions with Applications to Stochastic Processes
• The SDE solved by local times of a Brownian excursion or bridge derived from the height profile of a random tree or forest
• Uniform convergence rates over maximal domains in structural nonparametric cointegrating regression
• Distributions of functionals of a skew Brownian motion with discontinuous drift
• Brownian Local Times and Taboo Processes
• On the local time process of a skew Brownian motion
• Ray-Knight representation of flows of branching processes with competition by pruning of Lévy trees
• Continuity of local times for L�vy processes
• A maximal inequality for upcrossings of a continuous martingale
• High-frequency asymptotics for path-dependent functionals of Itô semimartingales
• The most visited point of a closed set by Brownian motion
• Local time is a semi-martingale
• The passage time distribution for a birth-and-death chain: Strong stationary duality gives a first stochastic proof
• Rates of convergence of diffusions with drifted Brownian potentials
• Exponential concentration of cover times
• Favorite sites of a persistent random walk
• Dynkin's isomorphism theorem and the Ray-Knight theorems
• Exceptional points of two-dimensional random walks at multiples of the cover time
• The escape rate of favorite sites of simple random walk and Brownian motion.
• Kac's moment formula and the Feynman-Kac formula for additive functionals of a Markov process
• No more than three favorite sites for simple random walk
• Inverting Ray-Knight identity
• On the character of convergence to Brownian local time. I
• Comportement des semi-martingales dans un grossissement de filtration
• On the divergence of certain integrals of the Wiener process
• Asymptotics of cover times via Gaussian free fields: bounded-degree graphs and general trees
• Inverting the ray-knight identity on the line
• Distribution of integral functionals of the local time of a Bessel process
• A martingale characterisation of the Brownian excursion compensator
• Sub-Gaussian bound for the one-dimensional Bouchaud trap model
• Annealed tail estimates for a Brownian motion in a drifted Brownian potential
• Un théorème de Ray-Knight lié au supremum des temps locaux browniens. (A Ray-Knight theorem related to suprema of Brownian local times)
• Une extension des théorèmes de Ray et Knight sur les temps locaux Browniens. (An extension of the theorems of Ray and Knight on Brownian local times)
• Scaling limits via excursion theory: interplay between Crump-Mode-Jagers branching processes and processor-sharing queues
• Semi-martingale inequalities via the Garsia-Rodemich-Rumsey lemma, and applications to local times
• The most visited site of Brownian motion and simple random walk
• Continuity of Multidimensional Brownian Local Times
• Joint density for the local times of continuous-time Markov chains
• Cover times, blanket times, and majorizing measures
• Brownian local times
• Distribution of integral functionals of a Brownian motion process
• Nonequilibrium density profiles in Lorentz tubes with thermostated boundaries
• Tables of distributions of functionals of Brownian motion
• A ratio ergodic theorem for increasing additive functionals
• The law of the iterated logarithm for local time of a Lévy process
• On the Markov property of local time for Markov processes on graphs
• Distribution of the supremum of increments of Brownian local time

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