메뉴 건너뛰기




Volumn 4, Issue , 1999, Pages 15-23

Some changes of probabilities related to a geometric brownian motion version of pitman’s 2m – x theorem

Author keywords

(Strict) Local Martingale; Diffusion Process; Explosion; Geometric Brownian Motion; Markov Intertwining Kernel

Indexed keywords


EID: 0001779433     PISSN: None     EISSN: 1083589X     Source Type: Journal    
DOI: 10.1214/ECP.v4-1001     Document Type: Article
Times cited : (7)

References (17)
  • 2
    • 0033484276 scopus 로고    scopus 로고
    • The importance of strict local martingales, applications to radial Ornstein-Uhlenbeck processes
    • K. D. Elworthy, X-M. Li and M. Yor, The importance of strict local martingales, applications to radial Ornstein-Uhlenbeck processes, to appear in Prob. Th. Rel. Fields, 1999.
    • (1999) Prob. Th. Rel. Fields
    • Elworthy, K.D.1    Li, X.-M.2    Yor, M.3
  • 4
    • 0001254093 scopus 로고
    • The parabolic differential equations and the associated semi-groups of transformations
    • W. Feller, The parabolic differential equations and the associated semi-groups of transformations, Ann. Math., 55 (1952), 468-519.
    • (1952) Ann. Math. , vol.55 , pp. 468-519
    • Feller, W.1
  • 5
    • 0040787211 scopus 로고
    • Some martingales related to cumulative sum tests and single-server queues
    • D. Kennedy, Some martingales related to cumulative sum tests and single-server queues, Stoch. Proc. Appl., 4 (1976), 261-269.
    • (1976) Stoch. Proc. Appl. , vol.4 , pp. 261-269
    • Kennedy, D.1
  • 6
    • 0001251792 scopus 로고
    • Some probabilistic properties of Bessel functions
    • J. Kent, Some probabilistic properties of Bessel functions, Ann. Prob., 6 (1978), 760-770.
    • (1978) Ann. Prob. , vol.6 , pp. 760-770
    • Kent, J.1
  • 7
    • 0002888662 scopus 로고    scopus 로고
    • Martingale problems for conditional distributions of Markov processes
    • T. G. Kurtz, Martingale problems for conditional distributions of Markov processes, Elect. J. Prob., 3 (1998), 1-29.
    • (1998) Elect. J. Prob. , vol.3 , pp. 1-29
    • Kurtz, T.G.1
  • 9
    • 0033147983 scopus 로고    scopus 로고
    • A version of Piman’s 2M — X theorem for geometric Brownian motions
    • H. Matsumoto and M. Yor, A version of Piman’s 2M — X theorem for geometric Brownian motions, C. R. Acad. Sci. Paris, Serie I, 328 (1999), 1067-1074.
    • (1999) C. R. Acad. Sci. Paris, Serie I , vol.328 , pp. 1067-1074
    • Matsumoto, H.1    Yor, M.2
  • 14
    • 3042806123 scopus 로고    scopus 로고
    • Some remarks on the T1-boundedness and the uniform integrability of continuous martingales
    • Lecture Notes Math., Springer-Verlag, Berlin
    • 1-boundedness and the uniform integrability of continuous martingales, to appear in Sem. Prob. XXXIII, Lecture Notes Math., Springer-Verlag, Berlin, 1999.
    • (1999) Sem. Prob. XXXIII
    • Takaoka, K.1
  • 15
    • 3042768687 scopus 로고
    • Theoreme de Girsanov generalise et grossissement d’une filtration
    • by, Th. Jeulin and M. Yor, Lecture Notes Math
    • C. Yoeurp, Theoreme de Girsanov generalise et grossissement d’une filtration, in Grossissements de filtrations: exemples et applications, Ed. by, Th. Jeulin and M. Yor, Lecture Notes Math., 1118, 172-196, 1985.
    • (1985) Grossissements De Filtrations: Exemples Et Applications , vol.1118 , pp. 172-196
    • Yoeurp, C.1
  • 17
    • 0001328881 scopus 로고
    • On time inversion of one-dimensional diffusion processes
    • S. Watanabe, On time inversion of one-dimensional diffusion processes, Z.W., 31 (1975), 115-124
    • (1975) Z.W. , vol.31 , pp. 115-124
    • Watanabe, S.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.