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August 2021 A convolution formula for the local time of an Itô diffusion reflecting at 0 and a generalized Stroock–Williams equation
Jacek Jakubowski, Maciej Wiśniewolski
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Bernoulli 27(3): 1870-1898 (August 2021). DOI: 10.3150/20-BEJ1295

Abstract

A new probabilistic insight into the structure of local time is presented. A convolution formula for the local time at 0 of Itô diffusions reflecting at 0 is obtained. A simple integro-differential equation for the cumulative distribution function of the local time is given. Finally, a probabilistic representation of a generalized Stroock–Williams equation is presented.

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Jacek Jakubowski. Maciej Wiśniewolski. "A convolution formula for the local time of an Itô diffusion reflecting at 0 and a generalized Stroock–Williams equation." Bernoulli 27 (3) 1870 - 1898, August 2021. https://doi.org/10.3150/20-BEJ1295

Information

Received: 1 November 2019; Revised: 1 August 2020; Published: August 2021
First available in Project Euclid: 10 May 2021

Digital Object Identifier: 10.3150/20-BEJ1295

Rights: Copyright © 2021 ISI/BS

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Vol.27 • No. 3 • August 2021
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