FROM BROWNIAN MOTION WITH A LOCAL TIME DRIFT TO FELLER'S BRANCHING DIFFUSION WITH LOGISTIC GROWTH

被引：9

作者：

Pardoux, Etienne ^{[1
]}

Wakolbinger, Anton ^{[2
]}

机构：

[1] Univ Aix Marseille 1, F-13331 Marseille 3, France

[2] Goethe Univ Frankfurt, D-6000 Frankfurt, Germany

来源：

ELECTRONIC COMMUNICATIONS IN PROBABILITY | 2011年 / 16卷

关键词：

Ray-Knight representation; local time; Feller branching with logistic growth; Brownian motion; local time drift; Girsanov transform;

D O I：

10.1214/ECP.v16-1679

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We give a new proof for a Ray-Knight representation of Feller's branching diffusion with logistic growth in terms of the local times of a reflected Brownian motion H with a drift that is affine linear in the local time accumulated by H at its current level. In [5], such a representation was obtained by an approximation through Harris paths that code the genealogies of particle systems. The present proof is purely in terms of stochastic analysis, and is inspired by previous work of Norris, Rogers and Williams [7].

引用

页码：720 / 731

页数：12

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