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3 matches found
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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XLIV: 13, 271-277, LNM 2046 (2012)
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 process
Nature: 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 jumps
Nature: Original