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
3125Comment: See also chap. 12 of Yor,
Some Aspects of Brownian Motion Part~II, Birkhäuser (1997)
Keywords: Continuous martingales,
Bessel processes,
Diffusion processes,
Pitman's theoremNature: Original
Retrieve article from Numdam
XLIV: 13, 271-277, LNM 2046 (2012)
VUOLLE-APIALA, Juha
Time inversion property for rotation invariant self-similar diffusion processes (
Theory of processes)
Keywords: Time inversion,
Self-similar,
Bessel processes,
Diffusion processes,
Rotation invariant,
Skew product,
Radial processNature: Original
XLIV: 20, 429-465, LNM 2046 (2012)
LÉONARD, Christian
Girsanov theory under a finite entropy condition (
Theory of processes)
Keywords: Stochastic processes,
Relative entropy,
Girsanov's theory,
Diffusion processes,
Processes with jumpsNature: Original
