Excursions Into a New Duality Relation for Diffusion Processes

Kalvis M. Jansons (University College London)

Abstract


This work was motivated by the recent work by H. Dette, J. Pitman and W.J. Studden on a new duality relation for random walks. In this note we consider the diffusion process limit of their result, and use the alternative approach of Ito excursion theory. This leads to a duality for Ito excursion rates.

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Pages: 65-69

Publication Date: September 18, 1996

DOI: 10.1214/ECP.v1-977

References

  1. H. Dette, J. Pitman and W. J. Studden, A new duality relation for random walks, Technical Report No. 432, Department of Statistics, University of California at Berkeley, (1995). Math Review article not available.
  2. L.C.G. Rogers and David Williams, Diffusions, Markov Processes and Martingales: Vol. 2, Ito Calculus, John Wiley & Sons, (1987). Math Review link
  3. D.S. Dean and K.M. Jansons, Excursions for polymers in elongational flows, J. Stat. Phys. 79, (1995), 265--297. Math Review article not available.
  4. D. Siegmund, The equivalence of absorbing and reflecting barrier problems for stochastically monotone Markov processes, Ann. Prob. 4, (1976), 914--924. Math Review link
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