An infinite-dimensional representation of the Ray-Knight theorems

DOI10.1007/S11425-022-2068-0zbMATH Open1530.60071arXiv2012.01761OpenAlexW3110005519MaRDI QIDQ6139326FDOQ6139326

Authors: Elie Aïdékon, Yueyun Hu, Zhan Shi 

Publication date: 18 January 2024

Published in: Science China. Mathematics (Search for Journal in Brave)

Abstract: The classical Ray-Knight theorems for Brownian motion determine the law of its local time process either at the first hitting time of a given value a by the local time at the origin, or at the first hitting time of a given position b by Brownian motion. We extend these results by describing the local time process jointly for all a and all b, by means of stochastic integral with respect to an appropriate white noise. Our result applies to $mu$-processes, and has an immediate application: a $mu$-process is the height process of a Feller continuous-state branching process (CSBP) with immigration (Lambert [10]), whereas a Feller CSBP with immigration satisfies a stochastic differential equation driven by a white noise (Dawson and Li [7]); our result gives an explicit relation between these two descriptions and shows that the stochastic differential equation in question is a reformulation of Tanaka's formula.

Full work available at URL: https://arxiv.org/abs/2012.01761

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zbMATH Keywords

white noiseTanaka's formulaRay-Knight theorem\( \mu \)-process

Mathematics Subject Classification ID

Brownian motion (60J65) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Stopping times; optimal stopping problems; gambling theory (60G40) Local time and additive functionals (60J55)

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Cited In (1)

• Stochastic Volterra equations for the local times of spectrally positive stable processes

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