Itô's theory of excursion point processes and its developments

Itô's theory of excursion point processes is reviewed and the following topics are discussed: Application of the theory to one-dimensional diffusion processes on half-intervals satisfying Feller's boundary conditions, and its multi-dimensional extension, i.e., the application of the theory to multi-dimensional diffusion processes satisfying Wentzell's boundary conditions.

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Year of publication:	2010
Authors:	Watanabe, Shinzo
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 120.2010, 5, p. 653-677
Publisher:	Elsevier
Keywords:	Poisson point processes Excursion point processes Feller's boundary conditions Wentzell's boundary conditions

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008875031