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

DOI10.1112/PLMS/S3-28.4.738zbMATH Open0326.60093OpenAlexW2001917146MaRDI QIDQ4091229FDOQ4091229

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)

• On first range times of linear diffusions
• Sur une conjecture de M. Kac. (On a conjecture of M. Kac)
• Extreme order statistics of random walks
• Uniqueness and universality of the Brownian map
• On the local rate of growth of Lévy processes with no positive jumps
• Recurrent extensions of self-similar Markov processes and Cramér's condition
• Splitting times for Markov processes and a generalised Markov property for diffusions
• The calculus of boundary processes
• Statistical properties of shocks in Burgers turbulence. II: Tail probabilities for velocities, shock-strengths and rarefaction intervals
• The SDE solved by local times of a Brownian excursion or bridge derived from the height profile of a random tree or forest
• Probability laws related to the Jacobi theta and Riemann zeta functions, and Brownian excur\-sions
• Exact simulation of the first-passage time of diffusions
• The exact packing measure of Brownian double points
• A path-transformation for random walks and the Robinson-Schensted correspondence
• Branching Brownian motion seen from its tip
• Size-biased sampling of Poisson point processes and excursions
• 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
• A decomposition of the Brownian path
• On hitting times of affine boundaries by reflecting Brownian motion and Bessel processes
• Optimal stopping problems for some Markov processes
• Applications of the continuous-time ballot theorem to Brownian motion and related processes.
• The tail expansion of Gaussian multiplicative chaos and the Liouville reflection coefficient
• Brownian analogues of Burke's theorem.
• 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
• The greatest convex minorant of Brownian motion, meander, and bridge
• Range of Brownian motion with drift
• Random self-similar trees: a mathematical theory of Horton laws
• The distribution of Gaussian multiplicative chaos on the unit interval
• On polymer conformations in elongational flows
• 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
• Integrability of boundary Liouville conformal field theory
• The k-record processes are i.i.d.
• Non-equilibrium theory of the allele frequency spectrum
• Localization in log-gamma polymers with boundaries
• Self-similar processes with independent increments associated with Lévy and Bessel processes.
• Lower bound on complexity of optimization of continuous functions
• Forward Brownian motion
• Self-intersections of 1-dimensional random walks
• Random Brownian scaling identities and splicing of Bessel processes
• The occupation time of Brownian motion in a ball
• A decomposition of Bessel Bridges
• Zero-One Laws and the Minimum of a Markov Process
• Annealed tail estimates for a Brownian motion in a drifted Brownian potential
• Williams' decomposition of the Lévy continuum random tree and simultaneous extinction probability for populations with neutral mutations
• It� excursion theory via resolvents
• A lower bound on complexity of optimization on the Wiener space
• On coupling of Markov chains
• Two-dimensional Brownian random interlacements
• On the laws of first hitting times of points for one-dimensional symmetric stable Lévy processes
• Un théorème de Ray-Knight lié au supremum des temps locaux browniens. (A Ray-Knight theorem related to suprema of Brownian local times)
• Brownian Gibbs property for Airy line ensembles
• A local time curiosity in random environment
• Hitting times, occupation times, trivariate laws and the forward Kolmogorov equation for a one-dimensional diffusion with memory
• Statistical properties of shocks in Burgers turbulence
• Time change approach to generalized excursion measures, and its application to limit theorems
• The most visited site of Brownian motion and simple random walk
• A stochastically quasi-optimal search algorithm for the maximum of the simple random walk
• 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
• On the shape of the connected component of the complement of the plane Brownian path
• Growth of the Brownian forest
• Bessel processes, the Brownian snake and super-Brownian motion
• Population Dynamics and Random Genealogies
• Path decompositions for Markov chains.
• The Doob-McKean identity for stable Lévy processes
• Integral representations of certain measures in the one-dimensional diffusions excursion theory
• No triple point of planar Brownian motion is accessible
• Last exit decompositions and regularity at the boundary of transition probabilities
• A one-dimensional optimization algorithm and its convergence rate under the Wiener measure
• Conditioning a reflected one-dimensional diffusion via its canonical decomposition
• Limit laws for Brownian motion conditioned to reach a high level
• Some Brownian functionals and their laws
• A conversation with Jim Pitman
• Volterra integral equations of the first kind and applications to linear diffusions
• New perspectives on Ray's theorem for the local times of diffusions
• Hidden symmetries and limit laws in the extreme order statistics of the Laplace random walk
• On the convex hull of a Brownian excursion with parabolic drift.
• An extension of a result of Burdzy and Lawler
• Shift‐invariance for vertex models and polymers
• Marginal densities of the least concave majorant of Brownian motion.
• Probability unfolding, 1965‒2015
• Path transformations for local times of one-dimensional diffusions
• Rate of escape of conditioned Brownian motion
• Conformal welding for critical Liouville quantum gravity
• Isoperimetric inequalities in the Brownian plane
• A multi-dimensional version of Lamperti's relation and the Matsumoto-Yor processes
• A remark on the heat equation with a point perturbation, the Feynman-Kac formula with local time and derivative pricing
• Leveraged Lévy processes as models for stock prices
• A convolution formula for the local time of an Itô diffusion reflecting at 0 and a generalized Stroock-Williams equation
• Markovian structure in the concave majorant of Brownian motion
• 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
• Three-point correlation functions in the \(\mathfrak{sl}_3\) Toda theory. I: Reflection coefficients

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