Some changes of probabilities related to a geometric Brownian motion version of Pitman's \(2M-X\) theorem

DOI10.1214/ECP.v4-1001zbMath0929.60031OpenAlexW2124091677MaRDI QIDQ1298334

Hiroyuki Matsumoto, Marc Yor

Publication date: 22 August 1999

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/120087

zbMATH Keywords

diffusion processexplosion(strict) local martingaleMarkov intertwining kernel

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Diffusion processes (60J60)

Related Items (3)

Discrete integrable systems and Pitman's transformation ⋮ Conditioned stochastic differential equations: theory, examples and application to finance. ⋮ Bi-infinite solutions for KdV- and Toda-type discrete integrable systems based on path encodings

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