Path Decomposition and Continuity of Local Time for One-Dimensional Diffusions, I

DOI10.1112/PLMS/S3-28.4.738MaRDI QIDQ4091229zbMATH OpenOpenAlexFDO

Authors

Publication date 1974

Published in Proceedings of the London Mathematical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1112/plms/s3-28.4.738

Mathematics Subject Classification ID

Diffusion processes (60J60)

Cited in

(only showing first 100 items - show all)

• Splitting at the infimum and excursions in half-lines for random walks and Lévy processes
• Hitting times of interacting drifted Brownian motions and the vertex reinforced jump process
• Time reversal and last passage time of diffusions with applications to credit risk management
• The harmonic functions of (A_t, B_t,)
• Birth times, death times and time substitutions in Markov chains
• Modified Pólya-Gamma data augmentation for Bayesian analysis of directional data
• On the shape of the connected component of the complement of the plane Brownian path
• Growth of the Brownian forest
• Path decompositions for Markov chains.
• Bessel processes, the Brownian snake and super-Brownian motion
• On the singular values of complex matrix Brownian motion with a matrix drift
• The Doob-McKean identity for stable Lévy processes
• Germ sigma fields and the natural state space of a Markov process
• Population Dynamics and Random Genealogies
• No triple point of planar Brownian motion is accessible
• Integral representations of certain measures in the one-dimensional diffusions excursion theory
• Minkowski content of Brownian cut points
• On the maximum increase and decrease of one-dimensional diffusions
• Mixing markovian laws; with an application to path decompositions^†
• Last exit decompositions and regularity at the boundary of transition probabilities
• MEXIT: maximal un-coupling times for stochastic processes
• Branching processes seen from their extinction time via path decompositions of reflected Lévy processes
• Conditioning a reflected one-dimensional diffusion via its canonical decomposition
• Limit laws for Brownian motion conditioned to reach a high level
• A one-dimensional optimization algorithm and its convergence rate under the Wiener measure
• Exact solutions for the probability density of various conditioned processes with an entrance boundary
• Some Brownian functionals and their laws
• On first range times of linear diffusions
• A conversation with Jim Pitman
• Sur une conjecture de M. Kac. (On a conjecture of M. Kac)
• New perspectives on Ray's theorem for the local times of diffusions
• Extreme order statistics of random walks
• Volterra integral equations of the first kind and applications to linear diffusions
• Hidden symmetries and limit laws in the extreme order statistics of the Laplace random walk
• Uniqueness and universality of the Brownian map
• On the convex hull of a Brownian excursion with parabolic drift.
• An extension of a result of Burdzy and Lawler
• On the local rate of growth of Lévy processes with no positive jumps
• Recurrent extensions of self-similar Markov processes and Cramér's condition
• Marginal densities of the least concave majorant of Brownian motion.
• Splitting times for Markov processes and a generalised Markov property for diffusions
• Shift‐invariance for vertex models and polymers
• The calculus of boundary processes
• Path transformations for local times of one-dimensional diffusions
• Statistical properties of shocks in Burgers turbulence. II: Tail probabilities for velocities, shock-strengths and rarefaction intervals
• Probability unfolding, 1965‒2015
• Rate of escape of conditioned Brownian motion
• The SDE solved by local times of a Brownian excursion or bridge derived from the height profile of a random tree or forest
• The exact packing measure of Brownian double points
• Exact simulation of the first-passage time of diffusions
• Probability laws related to the Jacobi theta and Riemann zeta functions, and Brownian excur\-sions
• Size-biased sampling of Poisson point processes and excursions
• Branching Brownian motion seen from its tip
• A path-transformation for random walks and the Robinson-Schensted correspondence
• Conformal welding for critical Liouville quantum gravity
• Isoperimetric inequalities in the Brownian plane
• Propriétés d'intersection des marches aléatoires. I: Convergence vers le temps local d'intersection. (Properties of intersection of random walks. I: Convergence to local time intersection)
• The most visited point of a closed set by Brownian motion
• Conditionings and path decompositions for Lévy processes
• Optimal stopping problems for some Markov processes
• A decomposition of the Brownian path
• On hitting times of affine boundaries by reflecting Brownian motion and Bessel processes
• A remark on the heat equation with a point perturbation, the Feynman-Kac formula with local time and derivative pricing
• A multi-dimensional version of Lamperti's relation and the Matsumoto-Yor processes
• Applications of the continuous-time ballot theorem to Brownian motion and related processes.
• A convolution formula for the local time of an Itô diffusion reflecting at 0 and a generalized Stroock-Williams equation
• Leveraged Lévy processes as models for stock prices
• Brownian analogues of Burke's theorem.
• The tail expansion of Gaussian multiplicative chaos and the Liouville reflection coefficient
• On the excursion theory for linear diffusions
• Area versus capacity and independence in the crushed ice model
• Limit law of the local time for Brox's diffusion
• Markovian structure in the concave majorant of Brownian motion
• The greatest convex minorant of Brownian motion, meander, and bridge
• On bivariate distributions of the local time of Itô-McKean diffusions
• On a first hit distribution of the running maximum of Brownian motion
• Ward identities in the \(\mathfrak{sl}_3\) Toda conformal field theory
• Range of Brownian motion with drift
• Random self-similar trees: a mathematical theory of Horton laws
• Three-point correlation functions in the \(\mathfrak{sl}_3\) Toda theory. I: Reflection coefficients
• On polymer conformations in elongational flows
• The distribution of Gaussian multiplicative chaos on the unit interval
• Three-dimensional Brownian motion and the golden ratio rule
• Characterization of the least concave majorant of Brownian motion, conditional on a vertex point, with application to construction
• Localization in log-gamma polymers with boundaries
• Integrability of boundary Liouville conformal field theory
• Non-equilibrium theory of the allele frequency spectrum
• Self-similar processes with independent increments associated with Lévy and Bessel processes.
• The k-record processes are i.i.d.
• Time and place of the maximum for one-dimensional diffusion bridges and meanders
• From planar Brownian windings to Asian options
• Forward Brownian motion
• Williams' path decomposition for self-similar Markov processes in \(\mathbb{R}^d\)
• Lower bound on complexity of optimization of continuous functions
• Self-intersections of 1-dimensional random walks
• Martin boundaries for some space-time Markov processes
• Random Brownian scaling identities and splicing of Bessel processes
• Pairwise near-maximal grand coupling of Brownian motions
• Moments of last exit times
• On functionals of excursions for Bessel processes with negative index

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