Time-dependent Functions of Brownian Motion that are Markovian

Albert T. Wang

doi:10.1214/aop/1176995051

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Home > Journals > Ann. Probab. > Volume 7 > Issue 3 > Article

June, 1979 Time-dependent Functions of Brownian Motion that are Markovian

Albert T. Wang

Ann. Probab. 7(3): 515-525 (June, 1979). DOI: 10.1214/aop/1176995051

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Abstract

The class of continuous functions $f(t, x)$ for which $f(t, X(t))$ are Markov processes is explicitly determined, where $X(t)$ is a Brownian motion on the real line. This extends a result by Walsh.

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Albert T. Wang. "Time-dependent Functions of Brownian Motion that are Markovian." Ann. Probab. 7 (3) 515 - 525, June, 1979. https://doi.org/10.1214/aop/1176995051