This article is cited in 1 paper

Local sojourn time of diffusion and degenerating processeson a mobile surface

N. G. Dokuchaev

St. Petersburg State University, Research Institute of Mathematics and Mechanics

Abstract: The existence of the local sojourn time on the surface is established for multi-dimensional Ito processes, and equations are derived for probability distributions. An explicit formula of the type of the Tanaka formula is obtained for local time. Local time continuity is established. The limiting properties of the local time are investigated for degenerating diffusion.

Keywords: local time, diffusion processes, diffusion degeneration.

Received: 20.01.1997

DOI: 10.4213/tvp1463

 English version: Theory of Probability and its Applications, 1999, 43:2, 171–188

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