When is a stochastic integral a time change of a diffusion?
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Publication:912482
DOI10.1007/BF01045159zbMath0698.60046OpenAlexW2765201918MaRDI QIDQ912482
Publication date: 1990
Published in: Journal of Theoretical Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/bf01045159
harmonic morphismfiltering theoryconformal martingalesconformal martingalesemi-martingale theorystochastic Ito integraltime change of Ito diffusion
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Martingales with continuous parameter (60G44)
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