Ray-Knight’s Theorem on Brownian Local Times and Tanaka’s Formula

  • T. Jeulin
Part of the Progress in Probability and Statistics book series (PRPR, volume 7)


Using Tanaka’s formula in an appropriate filtration, we give a representation property for the excursions below a given level of the (possibly killed) Brownian motion. Ray-Knight’s theorems on Brownian local times are then directly deduced from Tanaka’s formula.


Brownian Motion Local Time Representation Property Bessel Process Strong Markov Process 
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Copyright information

© Birkhäuser Boston, Inc. 1984

Authors and Affiliations

  • T. Jeulin
    • 1
  1. 1.Universite Paris 7Paris Cedex 05France

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