Abstract
This work was motivated by the recent work by H. Dette, J. Pitman and W.J. Studden on a new duality relation for random walks. In this note we consider the diffusion process limit of their result, and use the alternative approach of Ito excursion theory. This leads to a duality for Ito excursion rates.
Citation
Kalvis Jansons. "Excursions Into a New Duality Relation for Diffusion Processes." Electron. Commun. Probab. 1 65 - 69, 1996. https://doi.org/10.1214/ECP.v1-977
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