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Feb 2000 Some measure-valued Markov processes attached to occupation times of Brownian motion
Catherine Donati-Martin, Marc Yor
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Bernoulli 6(1): 63-72 (Feb 2000).

Abstract

We study the positive random measure Π t (ω,dy)=l t B t -ydy , where ( l t a;aR,t>0) denotes the family of local times of the one-dimensional Brownian motion B. We prove that the measure-valued process ( Π t;t0) is a Markov process. We give two examples of functions ( f i) i =1,...,n for which the process ( Π t(f i) i =1,...,n;t0) is a Markov process.

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Catherine Donati-Martin. Marc Yor. "Some measure-valued Markov processes attached to occupation times of Brownian motion." Bernoulli 6 (1) 63 - 72, Feb 2000.

Information

Published: Feb 2000
First available in Project Euclid: 22 April 2004

zbMATH: 0956.60086
MathSciNet: MR2002F:60155

Keywords: Brownian motion , Local times , Markov processes

Rights: Copyright © 2000 Bernoulli Society for Mathematical Statistics and Probability

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Vol.6 • No. 1 • Feb 2000
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