XV: 14, 206-209, LNM 850 (1981)
McGILL, Paul
A direct proof of the Ray-Knight theorem (Brownian motion)
The (first) Ray-Knight theorem describes the law of the process $(L_T^{1-a})_{0\le a\le 1}$ where $(L^a_t)$ is the family of local times of Brownian motion starting from $0$ and $T$ is the hitting time of $1$. A direct proof is given indeed. It is reproduced in Revuz-Yor, Continuous Martingales and Brownian Motion, Chapter XI, exercice (2.7)
Keywords: Local times, Ray-Knight theorems, Bessel processes
Nature: New proof of known results
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