IDEAS home Printed from
   My bibliography  Save this article

An excursion approach to Ray-Knight theorems for perturbed Brownian motion


  • Perman, Mihael


Perturbed Brownian motion in this paper is defined as Xt = Bt - [mu]lt where B is standard Brownian motion, (lt: t [greater-or-equal, slanted] 0) is its local time at 0 and [mu] is a positive constant. Carmona et al. (1994) have extended the classical second Ray-Knight theorem about the local time processes in the space variable taken at an inverse local time to perturbed Brownian motion with the resulting Bessel square processes having dimensions depending on [mu]. In this paper a proof based on splitting the path of perturbed Brownian motion at its minimum is presented. The derivation relies mostly on excursion theory arguments.

Suggested Citation

  • Perman, Mihael, 1996. "An excursion approach to Ray-Knight theorems for perturbed Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 63(1), pages 67-74, October.
  • Handle: RePEc:eee:spapps:v:63:y:1996:i:1:p:67-74

    Download full text from publisher

    File URL:
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to search for a different version of it.


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:63:y:1996:i:1:p:67-74. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.