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Perkins, Edwin

Local time is a semi-martingale. (English) Zbl 0468.60070

Z. Wahrscheinlichkeitstheor. Verw. Geb. 60, 79-117 (1982).
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Cited in 1 Review
Cited in 12 Documents

MSC:

60J55 Local time and additive functionals
60G48 Generalizations of martingales

Keywords:

local time; canonical decomposition of local time; semi-martingale
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Full Text: DOI

References:

[1] Barlow, M. T., On Brownian Local Time, Séminaire de Probabilités XV, 189-190 (1981), Berlin-Heidelberg-New York: Springer, Berlin-Heidelberg-New York · Zbl 0454.60067
[2] Chung, K. L.; Durrett, R., Downcrossings and local time, Z. Wahrscheinlichkeitstheorie Verw. Gebiete, 35, 147-149 (1976) · Zbl 0348.60111 · doi:10.1007/BF00533319
[3] Fisk, D. L., Quasi-martingales, Trans. Amer. Math. Soc., 120, 369-389 (1965) · Zbl 0133.40303
[4] Hunt, G., Martingales et Processus de Markov (1966), Paris: Dunod, Paris · Zbl 0158.35802
[5] Knight, F. B., Random walks and a sojourn density process of Brownian motion, Trans. Amer. Math. Soc., 109, 56-86 (1963) · Zbl 0119.14604
[6] McKean, H. P., Stochastic Integrals (1969), New York: Academic Press, New York · Zbl 0191.46603
[7] Ray, D. B., Sojourn times of diffusion processes. Ill, J. Math., 7, 615-630 (1963) · Zbl 0118.13403
[8] Walsh, J. B., Downcrossings and the Markov property of local time, Temps Locaux, Astérisque, 52-53, 89-115 (1978)
[9] Walsh, J. B., Excursions and local time, Temps Locaux, Astérisque, 52-53, 159-192 (1978)
[10] Williams, D., Lévy’s downcrossing theorem, Z. Wahrscheinlichkeitstheorie Verw. Gebiete, 40, 157-158 (1977) · Zbl 0372.60115 · doi:10.1007/BF00532879
[11] Williams, D., Conditional excursion theory, Séminaire de Probabilités XIII, 490-494 (1979), Berlin-Heidelberg-New York: Springer, Berlin-Heidelberg-New York · Zbl 0422.60058
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