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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