An extension of P. Lévy's distributional properties to the case of a Brownian motion with drift

Bernoulli

Volumn 6, Issue 4, 2000, Pages 615-620

  Graversen, Svend Erik ^a   Shiryaev, Albert N ^b  

^a AARHUS UNIVERSITY   (Denmark)

^b STEKLOV MATHEMATICAL INSTITUTE   (Russian Federation)

Author keywords

Brownian motion; Local time; Markov processes

Indexed keywords

EID: 2442466586     PISSN: 13507265     EISSN: None     Source Type: Journal    
DOI: 10.2307/3318509     Document Type: Article

References (6)

1. Fitzsimmons, P.J. (1987) A converse to a theorem of P. Lévy. Ann. Probab., 15, 1515-1523.
2. Ikeda, N. and Watanabe, S. (1981) Stochastic Differential Equations and Diffusion Processes. Amsterdam: North-Holland.
3. Karatzas, I. and Shreve, S. (1988) Brownian Motion and Stochastic Calculus. Berlin: Springer-Verlag.
4. Kinkladze, G.N. (1982) A note on the structure of processes the measure of which is absolutely continuous with respect to the Wiener process modulus measure. Stochastics, 8, 39-44.
5. Liptser, R. and Shiryayev, A.N. (1977) Statistics of Random Processes, Vol. 1. Berlin: Springer-Verlag.
6. Revuz, D. and Yor, M. (1994) Continuous Martingales and Brownian Motion, 2nd edn. Berlin: Springer-Verlag.