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On the Joint Law of the Occupation Times for a Diffusion Process on Multiray

Author

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  • Yuko Yano

    (Kyoto Sangyo University)

Abstract

For a diffusion process on multiray, the joint law of the occupation times on rays is studied. Two important formulae, the generalized Williams formula and the double Laplace transform formula, are proved. A limit theorem for the joint law and a representation of the density function are also discussed. The proofs are based on Itô’s excursion theory for Markov processes.

Suggested Citation

  • Yuko Yano, 2017. "On the Joint Law of the Occupation Times for a Diffusion Process on Multiray," Journal of Theoretical Probability, Springer, vol. 30(2), pages 490-509, June.
    • Handle: RePEc:spr:jotpro:v:30:y:2017:i:2:d:10.1007_s10959-015-0654-4
    DOI: 10.1007/s10959-015-0654-4
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    Cited by:

    1. Paavo Salminen & David Stenlund, 2021. "On Occupation Times of One-Dimensional Diffusions," Journal of Theoretical Probability, Springer, vol. 34(2), pages 975-1011, June.
    2. Endre Csáki & Miklós Csörgő & Antónia Földes & Pál Révész, 2019. "Limit Theorems for Local and Occupation Times of Random Walks and Brownian Motion on a Spider," Journal of Theoretical Probability, Springer, vol. 32(1), pages 330-352, March.

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