Counting excursions: symmetries, knock-ins and non-linear formula for Itô-McKean diffusions

MaRDI QIDQ5856500zbMATH OpenFDO

Authors Maciej Wiśniewolski

Publication date 26 March 2021

Full work available at URL http://alea.impa.br/articles/v18/18-16.pdf

zbMATH Keywords

convolutions of locally integrable functions and measurescounting excursions techniqueexcursions of Markov processeslinear diffusionlocal time

Mathematics Subject Classification ID

Transition functions, generators and resolvents (60J35) Local time and additive functionals (60J55) Diffusion processes (60J60)

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Cites work

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• The probability distributions of the first hitting times of radial Ornstein-Uhlenbeck processes
• Volterra Integral Equations in Banach Space
• Volterra integral equations of the first kind and applications to linear diffusions

Cited in

(1)

• On the excursion theory for linear diffusions

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