Itô's theory of excursion point processes and its developments

DOI10.1016/J.SPA.2010.01.012MaRDI QIDQ972810zbMATHOpenAlexFDO

Authors Shinzo Watanabe

Publication date 21 May 2010

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2010.01.012

zbMATH Keywords

excursion point processes associated with diffusion processes satisfying boundary conditionsstationary Poisson point process with values in function space

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Diffusion processes (60J60) Stochastic integrals (60H05)

Recommendations

• scientific article; zbMATH DE number 3901752
• Poisson point processes and their application to Markov processes. With a foreword by Shinzo Watanabe and Ichiro Shigekawa
• scientific article; zbMATH DE number 1349990
• Construction of semimartingales from pieces by the method of excursion point processes
• Poisson point processes, excursions and stable processes in two-dimensional structures

Cites work

• scientific article; zbMATH DE number 3140146 (Why is no real title available?)
• scientific article; zbMATH DE number 3145615 (Why is no real title available?)
• scientific article; zbMATH DE number 4006224 (Why is no real title available?)
• scientific article; zbMATH DE number 4020069 (Why is no real title available?)
• scientific article; zbMATH DE number 4034749 (Why is no real title available?)
• scientific article; zbMATH DE number 3690414 (Why is no real title available?)
• scientific article; zbMATH DE number 192908 (Why is no real title available?)
• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• scientific article; zbMATH DE number 3446162 (Why is no real title available?)
• scientific article; zbMATH DE number 3206627 (Why is no real title available?)
• scientific article; zbMATH DE number 3245885 (Why is no real title available?)
• scientific article; zbMATH DE number 3383329 (Why is no real title available?)
• scientific article; zbMATH DE number 3097479 (Why is no real title available?)
• Brownian motions on a half line
• Convergence of excursion point processes and its applications to functional limit theorems of Markov processes on a half-line
• Excursion measure away from an exit boundary of one-dimensional diffusion processes
• Limit theorems for point processes and their functionals
• Multi-dimensional diffusion and the Markov process on the boundary
• On stochastic differential equations
• On the existence and uniqueness of diffusion processes with Wentzell's boundary conditions
• On the uniqueness of solutions of stochastic differential equations with singular drifts
• Semi-groupes de Feller sur une variété à bord compacte et problèmes aux limites intégro-différentiels du second ordre donnant lieu au principe du maximum
• Time change approach to generalized excursion measures, and its application to limit theorems

Cited in

(19)

• Itô's excursion theory and its applications
• On the joint law of the occupation times for a diffusion process on multiray
• Necessary and sufficient optimality conditions for relaxed and strict control of forward-backward doubly SDEs with jumps under full and partial information
• Limit theorems of Brownian additive functionals
• Semiclassical analysis and a new result in excursion theory
• Extensions of Brownian motion to a family of Grushin-type singularities
• Infinite stable looptrees
• The excursion measure away from zero for spectrally negative Lévy processes
• A limit theorem for trees of alleles in branching processes with rare neutral mutations
• Addendum to ?it� excursion theory via resolvents?
• Itô's excursion theory and random trees
• Brownian motion on stable looptrees
• On the Itô excursion process
• Counting excursions: symmetries, knock-ins and non-linear formula for Itô-McKean diffusions
• scientific article; zbMATH DE number 3901752 (Why is no real title available?)
• Existence and uniqueness of the solutions of forward-backward doubly stochastic differential equations with Poisson jumps
• Excursions of the Brox diffusion
• Construction of semimartingales from pieces by the method of excursion point processes
• scientific article; zbMATH DE number 503147 (Why is no real title available?)

This page was built for publication: Itô's theory of excursion point processes and its developments

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q972810)