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2012 The Wronskian parametrises the class of diffusions with a given distribution at a random time
Martin Klimmek
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Electron. Commun. Probab. 17: 1-8 (2012). DOI: 10.1214/ECP.v17-1976

Abstract

We provide a complete characterisation of the class of one-dimensional time-homogeneous diffusions consistent with a given law at an exponentially distributed time using classical results in diffusion theory. To illustrate we characterise the class of diffusions with the same distribution as Brownian motion at an exponentially distributed time.

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Martin Klimmek. "The Wronskian parametrises the class of diffusions with a given distribution at a random time." Electron. Commun. Probab. 17 1 - 8, 2012. https://doi.org/10.1214/ECP.v17-1976

Information

Accepted: 9 October 2012; Published: 2012
First available in Project Euclid: 7 June 2016

zbMATH: 1252.60079
MathSciNet: MR2988396
Digital Object Identifier: 10.1214/ECP.v17-1976

Subjects:
Primary: 60J60
Secondary: 60J55

JOURNAL ARTICLE
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