Itô's theory of excursion point processes and its developments

Shinzo Watanabe

Stochastic Processes and their Applications, 2010, vol. 120, issue 5, 653-677

Abstract: Itô's theory of excursion point processes is reviewed and the following topics are discussed: Application of the theory to one-dimensional diffusion processes on half-intervals satisfying Feller's boundary conditions, and its multi-dimensional extension, i.e., the application of the theory to multi-dimensional diffusion processes satisfying Wentzell's boundary conditions.

Keywords: Poisson; point; processes; Excursion; point; processes; Feller's; boundary; conditions; Wentzell's; boundary; conditions (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (3)

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