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1996 Excursions Into a New Duality Relation for Diffusion Processes
Kalvis Jansons
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Electron. Commun. Probab. 1: 65-69 (1996). DOI: 10.1214/ECP.v1-977


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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Kalvis Jansons. "Excursions Into a New Duality Relation for Diffusion Processes." Electron. Commun. Probab. 1 65 - 69, 1996.


Accepted: 18 September 1996; Published: 1996
First available in Project Euclid: 25 January 2016

zbMATH: 0890.60090
MathSciNet: MR1423906
Digital Object Identifier: 10.1214/ECP.v1-977

Primary: 60K35

Keywords: Diffusion processes , Excursions

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