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XXXI: 26, 266-271, LNM 1655 (1997)
RAUSCHER, Bernhard
Some remarks on Pitman's theorem (Stochastic calculus)
For certain transient diffusions $X$, local martingales which are functins of $X_t$ and the future infimum $\inf_{u\ge t}X_u$ are constructed. This extends the preceding article 3125
Comment: See also chap. 12 of Yor, Some Aspects of Brownian Motion Part~II, Birkhäuser (1997)
Keywords: Continuous martingales, Bessel processes, Diffusion processes, Pitman's theorem
Nature: Original
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