Ray-Knight theorems related to a stochastic flow

被引：8
作者：
Hu, YY
Warren, J
机构：
[1] Univ Paris 06, CNRS, UMR 7599, Lab Probabil & Modeles Aleatoires, F-75252 Paris 05, France
[2] Univ Warwick, Dept Stat, Coventry CV4 7AL, W Midlands, England
来源：
STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2000年 / 86卷 / 02期
关键词：
flow; Ray-Knight theorems; Jacobi processes;
D O I：
10.1016/S0304-4149(99)00098-8
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 study a stochastic flow of l(1)-homeomorphisms of R. At certain stopping times, the spatial derivative of the flow is a diffusion in the space variable and its generator is given This answers several questions posed in a previous study by Bass and Burdzy (1999, Arm. Probab. 27, 50-108). (C) 2000 Elsevier Science B.V. All rights reserved. MSC: 60J55; 60J60.
引用
收藏
页码：287 / 305
页数：19
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