Let $(B_t)_{t\geq0}$ be a one-dimensional, standard Brownian motion and let $(l(0,t))_{t\geq0}$ be its local time at the origin. The process $((B_t,l(0,t)))_{t\geq0}$ is a markov process on $\mathbb{R}\times\mathbb{R}_+$. Which is its infinitesimal generator?
the infinitesimal generator of $(B_t,l(0,t))$
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probability
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1I could advise you the book Change of Time and Change of Measure, it's quite recent of 2010. There may be an answer. – 2011-07-28
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0Ok thanks a lot, I'll take a look. – 2011-07-28
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0Not every Markov process has an infinitesimal generator, only (Itô) diffusions have. What makes you think (B,L) is a diffusion? – 2011-07-30