On sojourn times, excursions and spectral measures connected with quasidiffusions

DOI10.1215/KJM/1250520875MaRDI QIDQ579770zbMATH OpenOpenAlexFDO

Authors Uwe Küchler

Publication date 1986

Published in Journal of Mathematics of Kyoto University (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1215/kjm/1250520875

zbMATH Keywords

compounded Poisson processeigenfunctionsLaplace transformslocal timePoisson measurequasidiffusion

Mathematics Subject Classification ID

Local time and additive functionals (60J55) Diffusion processes (60J60)

Review text

Let X be a quasidiffusion on the real line with infinitesimal operator \(D_ mD^+_ x\). The author considers excursions of X over some level b and sojourn times in an interval [0,b'] during such an excursion. The Laplace transforms are given in terms of eigenfunctions \(f_{\lambda}\) of \(D_ mD^+_ x-\lambda id.\) Let \(P_ t(b,b')\) be the time which X spends over b' during an excursion of X from zero to b occurring before the local time of X at zero equals t. This process turns out to be a compounded Poisson process. The Poisson measure with respect to the length and the maximum of an excursion is again given in dependence of eigenfunctions.

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