Hitting, Occupation, and Inverse Local Times of One-Dimensional Diffusions: Martingale and Excursion

By Jim Pitman, Marc Yor. 2003

85 citations recorded by the source corpus.

Subfields: Condensed Matter Physics, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/796ea9a698463e6bd33ca4263873719b54a46e4e

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In Condensed Matter Physics

1. Bin Li
2. Xiaowen Zhou

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1. Bin Li
2. J. Ruf
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4. Ioannis Karatzas

Citations in the corpus

• Distribution of the time to explosion for one-dimensional diffusions (2013, background): “We refer to [45] and Section 2 in [24] for several pointers to this literature.”
• The Joint Laplace Transforms for Diffusion Occupation Times (2013, methodology): “The excursion theory has also been applied to obtain occupation time related Laplace transforms; see [18] and [19].”
• A survey and some generalizations of Bessel processes (2003, unknown): “…times of diffusions, we refer to Arbib (1965), Breiman (1967), Horowitz (1985), Kent (1978a), Nobile et al. (1985), Novikov (1981; 1983; 1994), Pitman and Yor (1999; 2003), Ricciardi and Sato (1988), Rogers (1981), Salminen (1988), Shepp (1967), Siegert (1951), Truman and Williams (1990) and…”