Ray-Knight’s Theorem on Brownian Local Times and Tanaka’s Formula
T. Jeulin · Birkhäuser Boston eBooks · 1984
Using Tanaka’s formula in an appropriate filtration, we give a representation property for the excursions below a given level of the (possibly killed) Brownian motion. Ray-Knight’s theorems on Brownian local times are then directly deduced from Tanaka’s formula. These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.