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Pitman type theorem for one-dimensional diffusion processes

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Publication:756290
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DOI10.3836/tjm/1270132272zbMath0722.60082OpenAlexW1982382435MaRDI QIDQ756290

Hideki Tanemura, Yasumasa Saisho

Publication date: 1990

Published in: Tokyo Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3836/tjm/1270132272

zbMATH Keywords

stochastic differential equationBessel processregular diffusion


Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)


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Discrete integrable systems and Pitman's transformation, A class of remarkable submartingales, On transient Bessel processes and planar Brownian motion reflected at their future infima, Some Brownian functionals and their laws, Characterization of submartingales of a new class (Σr), Bi-infinite solutions for KdV- and Toda-type discrete integrable systems based on path encodings, A variant of Pitman's theorem on \((2J_s-R_s,s\geq 0)\) for a general transient Bessel process \(R_{(+)}\) and its implications for the corresponding Ito's measure \(\mathbf n_{(-)}\)



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