Some Distributional Properties of a Brownian Motion with a Drift and an Extension of P. Lévy's Theorem

DOI10.1137/S0040585X97977689zbMath0974.60058OpenAlexW2071112160MaRDI QIDQ2711133

Albert N. Shiryaev, Alexander S. Cherny

Publication date: 2 May 2001

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97977689

zbMATH Keywords

local timeBrownian motion with driftLévy's theoremconditionally Gaussian martingalesSkorokhod's lemma

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Local time and additive functionals (60J55)

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