On the Joint Law of the Occupation Times for a Diffusion Process on Multiray

Yuko Yano ()
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Yuko Yano: Kyoto Sangyo University

Journal of Theoretical Probability, 2017, vol. 30, issue 2, 490-509

Abstract: Abstract For a diffusion process on multiray, the joint law of the occupation times on rays is studied. Two important formulae, the generalized Williams formula and the double Laplace transform formula, are proved. A limit theorem for the joint law and a representation of the density function are also discussed. The proofs are based on Itô’s excursion theory for Markov processes.

Keywords: Diffusion processes; Occupation times; Excursion theory; Primary 60J60; Secondary 60J55; 60F05 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s10959-015-0654-4

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