Abstract
Let X(t) be a persistent nonsingular diffusion on an interval Q containing 0 (in the sense of [4]). If we assume a natural scale, then X is characterized by its speed measure m(dx) on Q, and finite endpoints are reflecting. There exists (P0-a.s.) the local time
which is continuous in t ≥ 0. The right-continuous inverse ℓ(-1)(t) = inf{s: ℓ(s) > t} is an increasing finite process with homogeneous independent increments, and as such (see for example [4, §6.1]) it is characterized by its Lévy measure n(dy) on (0,∞) through the equation
where m0 = m{0}. An interesting problem [4, p. 217] is to characterize the class of all n(dy) which can appear when Q and m(dx) vary. It is shown there that there is a unique measure µ on [0,∞) such that \( n(dy) = dy\int_{{0 - }}^{\infty } {{e^{{ - y\gamma }}}\mu (d\gamma )} \), so the problem reduces to characterizing the class of µ.
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© 1981 Birkhäuser Boston
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Knight, F.B. (1981). Characterization of the Levy Measures of Inverse Local Times of Gap Diffusion. In: Çinlar, E., Chung, K.L., Getoor, R.K. (eds) Seminar on Stochastic Processes, 1981. Progress in Probability and Statistics, vol 1. Birkhäuser Boston. https://doi.org/10.1007/978-1-4612-3938-3_3
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DOI: https://doi.org/10.1007/978-1-4612-3938-3_3
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