Lévy Measure Density Corresponding to Inverse Local Time
We are concerned with the L évy measure density corresponding to the inverse local time at the regular end point for a harmonic transform of a one-dimensional di usion process. We show that the L evy measure density is represented as the Laplace transform of the spectral measure corresponding to the...
Gespeichert in:
Veröffentlicht in: | Publications of the Research Institute for Mathematical Sciences 2013, Vol.49 (3), p.563-599 |
---|---|
Hauptverfasser: | , |
Format: | Artikel |
Sprache: | eng |
Schlagworte: | |
Online-Zugang: | Volltext |
Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
Zusammenfassung: | We are concerned with the L évy measure density corresponding to the inverse local time at the regular end point for a harmonic transform of a one-dimensional di usion process. We show that the L evy measure density is represented as the Laplace transform of the spectral measure corresponding to the original di usion process, where the absorbing boundary condition is posed at the end point whenever it is regular. |
---|---|
ISSN: | 0034-5318 1663-4926 |
DOI: | 10.4171/PRIMS/113 |